A discrete-time optimal execution problem with market prices subject to random environments
Year of publication: |
2023
|
---|---|
Authors: | Jasso-Fuentes, Héctor ; Pacheco, Carlos Gabriel ; Salgado-Suárez, Gladys Denisse |
Published in: |
Top : an official journal of the Spanish Society of Statistics and Operations Research. - Berlin : Springer, ISSN 1863-8279, ZDB-ID 2322573-7. - Vol. 31.2023, 3, p. 562-583
|
Subject: | Dynamic programming | Optimal execution problems | Price impacts | Random environment | Random walks | Theorie | Theory | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming | Random Walk | Random walk |
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