A sample-path approach to optimal position liquidation
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DOI: 10.1007/s10479-006-0143-3
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Cited by:
- Dimitris Bertsimas & Shimrit Shtern & Bradley Sturt, 2023. "A Data-Driven Approach to Multistage Stochastic Linear Optimization," Management Science, INFORMS, vol. 69(1), pages 51-74, January.
- Teemu Pennanen, 2008. "Arbitrage and deflators in illiquid markets," Papers 0807.2526, arXiv.org, revised Apr 2009.
- Churlzu Lim & Hanif Sherali & Stan Uryasev, 2010. "Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization," Computational Optimization and Applications, Springer, vol. 46(3), pages 391-415, July.
- Teemu Pennanen, 2011. "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 57-83, January.
- Julien Vaes & Raphael Hauser, 2018. "Optimal Trade Execution with Uncertain Volume Target," Papers 1810.11454, arXiv.org, revised Sep 2021.
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Keywords
Optimal trading; Market impact; Stochastic programming; Sample paths;All these keywords.
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