Optimal portfolio execution with a Markov chain approximation approach
Year of publication: |
2023
|
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Authors: | Chen, Jingnan ; Feng, Liming ; Peng, Jiming ; Zhang, Yu |
Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 34.2023, 1, p. 165-186
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Subject: | portfolio execution | Markov chain approximation | multi-dimensional binomial method | linear extrapolation | cross-asset price impact | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain |
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