Optimal portfolio execution under time-varying liquidity constraints
Year of publication: |
November 2017
|
---|---|
Authors: | Lin, Hua-Yi ; Fahim, Arash |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 5/6, p. 387-416
|
Subject: | Optimal portfolio execution | limit order market | market impact model | convex programming | Karush-Kuhn-Tucker conditions | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
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