Drift dependence of optimal trade execution strategies under transient price impact
Year of publication: |
2013
|
---|---|
Authors: | Lorenz, Christopher ; Schied, Alexander |
Published in: |
Finance and Stochastics. - Springer. - Vol. 17.2013, 4, p. 743-770
|
Publisher: |
Springer |
Subject: | Optimal trade execution | Optimal order execution | Transient price impact | Singular control | Verification argument |
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