Optimal trade execution under endogenous pressure to liquidate : theory and numerical solutions
Year of publication: |
1 February 2018
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Authors: | Brunovský, Pavol ; Černý, Aleš ; Komadel, Ján |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 264.2018, 3 (1.2.), p. 1159-1171
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Subject: | Optimal liquidation | Price impact | Square-root law | Singular boundary value problem | Stochastic optimal control | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
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