Periodic strategies in optimal execution with multiplicative price impact-Reference-Cited by-同舟云学术

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Periodic strategies in optimal execution with multiplicative price impact

Published:2019-03-07 Issue:4 Volume:29 Page:1039-1065
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Hernández‐Hernández Daniel¹,Moreno‐Franco Harold A.²³,Pérez José‐Luis¹

Affiliation:

1. Department of Probability and StatisticsCentro de Investigación en MatemáticasGuanajuato Mexico

2. Department of Mathematics and StatisticsUniversidad del NorteBarranquilla Colombia

3. National Research University Higher School of EconomicsMoscow Russia

Funder

Consejo Nacional de Ciencia y Tecnología

National Research University Higher School of Economics

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12208

Reference31 articles.

1. Constrained portfolio liquidation in a limit order book model

2. Optimal execution strategies in limit order books with general shape functions

3. Optimal execution with nonlinear impact functions and trading-enhanced risk

4. Value under liquidation;Almgren R. F.;Risk,1999

5. Optimal execution of portfolio transactions

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1. Portfolio liquidation with delayed information;Economic Modelling;2023-09

2. Hamilton–Jacobi–Bellman–Isaacs equation for rational inattention in the long-run management of river environments under uncertainty;Computers & Mathematics with Applications;2022-04

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