Viscosity solution for optimal liquidation problems with randomly-terminated horizon
Qing-Qing Yang, Wai-Ki Ching, Jia-wen Gu, Tak Kwong Wong, Dong-Mei Zhu
| Year of publication: |
2024
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|---|---|
| Authors: | Yang, Qing-Qing ; Ching, Wai Ki ; Gu, Jia-wen ; Wong, Tak Kwong ; Zhu, Dong-Mei |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 61.2024, Art.-No. 105043, p. 1-15
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| Subject: | Hamilton-Jacobi-Bellman equation | Optimal liquidation strategies | Viscosity solution | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Liquidität | Liquidity | Dynamische Optimierung | Dynamic programming |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105043 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014491014