A state-constrained differential game arising in optimal portfolio liquidation
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- Markus K. Brunnermeier & Lasse Heje Pedersen, 2005.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang, 2016. "Limit order trading with a mean reverting reference price," Papers 1607.00454, arXiv.org, revised Nov 2016.
- Elias Strehle, 2016. "Are Order Anticipation Strategies Harmful? A Theoretical Approach," Papers 1609.00599, arXiv.org, revised Sep 2017.
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