Dynamic portfolio selection with market impact costs-Reference-Cited by-同舟云学术

Dynamic portfolio selection with market impact costs

Published:2014-07 Issue:5 Volume:42 Page:299-306
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Lim Andrew E.B.,Wimonkittiwat Poomyos

Funder

NSF

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference14 articles.

1. Solvability and asymtotic behavior of generalized riccati equations arising in indefinite stochastic lq controls;Ait Rami;IEEE Trans. Automat. Control,2001

2. Optimal execution of portfolio transaction;Almgren;J. Risk,2000

3. Equity market impact;Almgren;Risk,2005

4. Optimal control of execution costs;Bertsimas;J. Financial Markets,1998

5. Liquidity and risk management;Garleanu,2007

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