Mean--Variance Optimal Adaptive Execution
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References listed on IDEAS
- J. Michael Harrison & Stanley R. Pliska, 1981. "Martingales and Stochastic Integrals in the Theory of Continous Trading," Discussion Papers 454, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- David B. Colwell & Robert J. Elliott, 1993. "Discontinuous Asset Prices And Non-Attainable Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 295-308.
- Mark Broadie & Jérôme Detemple, 1997. "The Valuation of American Options on Multiple Assets," Mathematical Finance, Wiley Blackwell, vol. 7(3), pages 241-286.
- Chandrasekhar Reddy Gukhal, 2001. "Analytical Valuation of American Options on Jump-Diffusion Processes," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 97-115.
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- repec:eee:ejores:v:264:y:2018:i:3:p:1159-1171 is not listed on IDEAS
- Elias Strehle, 2016. "Are Order Anticipation Strategies Harmful? A Theoretical Approach," Papers 1609.00599, arXiv.org, revised Sep 2017.
- repec:exl:2manag:v:17:y:2016:i:2:p:241-260 is not listed on IDEAS
- Damiano Brigo & Clement Piat, 2016. "Static vs adapted optimal execution strategies in two benchmark trading models," Papers 1609.05523, arXiv.org.
- Olivier Gu'eant & Jean-Michel Lasry & Jiang Pu, 2014. "A convex duality method for optimal liquidation with participation constraints," Papers 1407.4614, arXiv.org, revised Dec 2014.
- Ryuichi Yamamoto, 2015. "Dynamic predictor selection and order splitting in a limit order market," Working Papers 1514, Waseda University, Faculty of Political Science and Economics.
- Du, Bian & Zhu, Hongliang & Zhao, Jingdong, 2016. "Optimal execution in high-frequency trading with Bayesian learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 767-777.
- Henryk Gurgul & Robert Syrek & Christoph Mitterer, 2016.
"Price duration versus trading volume in high-frequency data for selected DAX companies,"
AGH University of Science and Technology, vol. 17(2), pages 241-260, December.
- Henryk Gurgul & Robert Syrek & Christoph Mitterer, 2016. "Price duration versus trading volume in high-frequency data for selected DAX companies," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(2), pages 241-260.
- Tim Leung & Yoshihiro Shirai, 2015. "Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties," Papers 1502.00358, arXiv.org.
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