Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Theoretical Computer Science,Software
Link
http://epubs.siam.org/doi/pdf/10.1137/080715901
Reference24 articles.
1. Optimal execution of portfolio transactions
2. Optimal control of execution costs for portfolios
3. Optimal control of execution costs
4. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
5. Computing efficient frontiers using estimated parameters
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