Robust strategies for optimal order execution in the Almgren-Chriss framework
Alexander Schied
| Year of publication: |
2013
|
|---|---|
| Authors: | Schied, Alexander |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 3/4, p. 264-286
|
| Subject: | market impact | optimal order execution | Almgren-Chriss model | robustness | model uncertainty |
| 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/10010187665