Optimal trade execution with uncertain volume target
Year of publication: |
2022
|
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Authors: | Vaes, Julien ; Hauser, Raphael A. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 26.2022, 1, p. 37-80
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Subject: | trading strategy | transactions costs | volume uncertainty | risk-aversion | conditional value-at-risk (CVaR) | Transaktionskosten | Transaction costs | Risikomaß | Risk measure | Risiko | Risk | Portfolio-Management | Portfolio selection | Handelsvolumen der Börse | Trading volume | Theorie | Theory | Risikoaversion | Risk aversion | Entscheidung unter Unsicherheit | Decision under uncertainty |
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