Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall
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- 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.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-22 (All new papers)
- NEP-MST-2012-05-22 (Market Microstructure)
- NEP-RMG-2012-05-22 (Risk Management)
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