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HJB equation
Portfolio selection
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optimal trade execution
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Brigo, Damiano
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Di Graziano, Giuseppe
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Frei, Christoph
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Westray, Nicholas
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Journal of financial engineering
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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Optimal execution of a VWAP order : a stochastic control approach
Frei, Christoph
;
Westray, Nicholas
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 612-639
Persistent link: https://www.econbiz.de/10011350559
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2
Optimal
trade
execution
under displaced diffusions dynamics across different risk criteria
Brigo, Damiano
;
Di Graziano, Giuseppe
- In:
Journal of financial engineering
1
(
2014
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10010508077
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