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My bibliography Save this paperOptimal execution comparison across risks and dynamics, with solutions for displaced diffusions
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- Jim Gatheral & Alexander Schied, 2011. "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 353-368.
- Alexander Schied, 2012. "Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework," Papers 1204.2717, arXiv.org, revised May 2013.
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Cited by:
- Xue Cheng & Marina Di Giacinto & Tai-Ho Wang, 2019. "Optimal execution with dynamic risk adjustment," Papers 1901.00617, arXiv.org, revised Jul 2019.
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