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Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
Zhang, Rongju; Langrené, Nicolas; Tian, Yu; Klebaner, … - In: The journal of computational finance 23 (2019) 1, pp. 97-127
Persistent link: https://www.econbiz.de/10012065042
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Numerical methods for an optimal order execution problem
Guilbaud, Fabien; Mnif, Mohamed; Pham, Huyên - In: The journal of computational finance 16 (2012/13) 3, pp. 3-45
Persistent link: https://www.econbiz.de/10009740108
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RESEARCH PAPERS - Numerical methods for an optimal order execution problem
Guilbaud, Fabien; Mnif, Mohamed; Pham, Huyên - In: The journal of computational finance 16 (2013) 3, pp. 3-46
Persistent link: https://www.econbiz.de/10010104410