Multivariate transient price impact and matrix-valued positive definite functions
Year of publication: |
August 2016
|
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Authors: | Alfonsi, Aurélien ; Klöck, Florian ; Schied, Alexander |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 41.2016, 3, p. 914-934
|
Subject: | multivariate price impact | matrix-valued positive definite function | optimal trade execution | optimal portfolio liquidation | matrix function | Theorie | Theory | Portfolio-Management | Portfolio selection |
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