Market Impact in a Latent Order Book
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- Mariani, Francesca & Recchioni, Maria Cristina & Ciommi, Mariateresa, 2019. "Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach," European Journal of Operational Research, Elsevier, vol. 275(3), pages 1178-1189.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-HME-2018-03-12 (Heterodox Microeconomics)
- NEP-MST-2018-03-12 (Market Microstructure)
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