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~subject:"Portfolio selection"
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Search: subject:"Optimal liquidation"
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Portfolio selection
Theorie
22
Liquidity
21
Theory
21
Liquidität
17
Optimal liquidation
16
Portfolio-Management
16
optimal liquidation
16
Stochastic process
10
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Mathematical programming
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Mathematische Optimierung
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Marktliquidität
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illiquid markets
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Börsenkurs
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Control theory
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Market liquidity
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algorithmic trading
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price impact
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Elektronisches Handelssystem
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Financial market
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Finanzmarkt
3
Hamilton-Jacobi-Bellman equation
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Price impact
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dark pools
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market microstructure
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optimal liquidation strategies
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Guéant, Olivier
2
Kratz, Peter
2
Lehalle, Charles-Albert
2
Løkka, Arne
2
Ankirchner, Stefan
1
Becherer, Dirk
1
Bilarev, Todor
1
Blanchet-Scalliet, Christophette
1
Braouezec, Yann
1
Brunovský, Pavol
1
Cardaliaguet, Pierre
1
Ching, Wai Ki
1
Eyraud-Loisel, Anne
1
Frentrup, Peter
1
Gu, Jia-wen
1
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1
Lee, Dongyeol
1
Leung, Tim
1
Liu, Yang
1
Sadoghi, Amirhossein
1
Schöneborn, Torsten
1
Shirai, Yoshihiro
1
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1
Wagalath, Lakshithe
1
Wong, Tak Kwong
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Xu, Junwei
1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
3
European journal of operational research : EJOR
2
Journal of mathematical finance
2
Mathematics and financial economics
2
Finance and stochastics
1
Finance research letters
1
International journal of theoretical and applied finance
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Review of finance : journal of the European Finance Association
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ECONIS (ZBW)
16
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1
Optimal intertemporal liquidation of institutional investors with cash requirements and viable loans
Lee, Dongyeol
;
Kim, Woo Chang
- In:
The European journal of finance
30
(
2024
)
6
,
pp. 618-641
Persistent link: https://www.econbiz.de/10014547977
Saved in:
2
Viscosity solution for
optimal
liquidation
problems with randomly-terminated horizon
Yang, Qing-Qing
;
Ching, Wai Ki
;
Gu, Jia-wen
;
Wong, Tak Kwong
- In:
Finance research letters
61
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014491014
Saved in:
3
Optimal
liquidation
problem in illiquid markets
Sadoghi, Amirhossein
;
Večeř, Jan
- In:
European journal of operational research : EJOR
296
(
2022
)
3
,
pp. 1050-1066
Persistent link: https://www.econbiz.de/10013256904
Saved in:
4
Optimal
liquidation
trajectories for the Almgren-Chriss model
Løkka, Arne
;
Xu, Junwei
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
Saved in:
5
Risk-based capital requirements and
optimal
liquidation
in a stress scenario
Braouezec, Yann
;
Wagalath, Lakshithe
- In:
Review of finance : journal of the European Finance …
22
(
2018
)
2
,
pp. 747-782
Persistent link: https://www.econbiz.de/10011991324
Saved in:
6
Mean field game of controls and an application to trade crowding
Cardaliaguet, Pierre
;
Lehalle, Charles-Albert
- In:
Mathematics and financial economics
12
(
2018
)
3
,
pp. 335-363
Persistent link: https://www.econbiz.de/10011963860
Saved in:
7
Optimal
liquidation
under stochastic liquidity
Becherer, Dirk
;
Bilarev, Todor
;
Frentrup, Peter
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 39-68
Persistent link: https://www.econbiz.de/10011945624
Saved in:
8
Optimal trade execution under endogenous pressure to liquidate : theory and numerical solutions
Brunovský, Pavol
;
Černý, Aleš
;
Komadel, Ján
- In:
European journal of operational research : EJOR
264
(
2018
)
3
,
pp. 1159-1171
Persistent link: https://www.econbiz.de/10011802354
Saved in:
9
Optimal portfolio liquidation with additional information
Ankirchner, Stefan
;
Blanchet-Scalliet, Christophette
; …
- In:
Mathematics and financial economics
10
(
2016
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011445989
Saved in:
10
Entrepreneurship dynamics under time inconsistent preferences
Liu, Yang
;
Yang, Jinqiang
- In:
Journal of mathematical finance
5
(
2015
)
1
,
pp. 40-48
Persistent link: https://www.econbiz.de/10011398602
Saved in:
1
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