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MeanVariance Optimal Adaptive Execution
Lorenz, Julian; Almgren, Robert - In: Applied mathematical finance 18 (2011) 5, pp. 395-423
Persistent link: https://www.econbiz.de/10009798781
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Simulation of a limit order driven market
Lorenz, Julian; Osterrieder, Jörg - In: The journal of trading 4 (2009) 1, pp. 23-30
Persistent link: https://www.econbiz.de/10009881773
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LIQUIDITY 1: VALUE UNDER LIQUIDATION - How can traders account for both liquidity and transaction costs in a portfolio theory framework?
Almgren, Robert; Chriss, Neil - In: Risk : managing risk in the world's financial markets 12 (1999) 12, pp. 61-64
Persistent link: https://www.econbiz.de/10007052943