Optimal liquidation in a limit order book for a risk-averse investor
Arne Løkka
| Year of publication: |
2014
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|---|---|
| Authors: | Løkka, Arne |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 4, p. 696-727
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| Subject: | limit order book | optimal liquidation | optimal execution | CARA utility | singular control | discontinuous intervention boundary | Theorie | Theory | Wertpapierhandel | Securities trading | Portfolio-Management | Portfolio selection | Liquidität | Liquidity | Risikoaversion | Risk aversion | Geld-Brief-Spanne | Bid-ask spread | Marktmikrostruktur | Market microstructure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011308171