Stochastic liquidity as a proxy for nonlinear price impact
Johannes Muhle-Karbe, Zexin Wang, Kevin Webster
| Year of publication: |
2024
|
|---|---|
| Authors: | Muhle-Karbe, Johannes ; Wang, Zexin ; Webster, Kevin T. |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 72.2024, 2, p. 444-458
|
| Subject: | dynamic programming | finance | Financial Engineering | optimal control | portfolio | probability | stochastic model applications | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Theorie | Theory | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming | Financial engineering |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2022.0627 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014520747