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.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2012-05-22 (Market Microstructure)
- NEP-RMG-2012-05-22 (Risk Management)
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