A note on Almgren-Chriss optimal execution problem with geometric Brownian motion
Year of publication: |
2019
|
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Authors: | Baldacci, Bastien ; Benveniste, Jerome |
Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 5.2019, 1/4, p. 1-22
|
Subject: | Almgren-Chriss | optimal liquidation | adjoint operator | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
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