Viscosity solution for optimal liquidation problems with randomly-terminated horizon
Year of publication: |
2024
|
---|---|
Authors: | Yang, Qing-Qing ; Ching, Wai Ki ; Gu, Jia-wen ; Wong, Tak Kwong ; Zhu, Dong-Mei |
Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 61.2024, Art.-No. 105043, p. 1-15
|
Subject: | Hamilton-Jacobi-Bellman equation | Optimal liquidation strategies | Viscosity solution | Theorie | Theory | Liquidität | Liquidity | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
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