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Portfolio selection
8
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8
Mathematical programming
5
Mathematische Optimierung
5
Theorie
5
Theory
5
optimal portfolio liquidation
5
Optimal portfolio liquidation
3
Signalling
3
Stochastic process
3
Stochastischer Prozess
3
Control theory
2
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2
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2
Optimal execution
2
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optimal stochastic control
2
optimal trade execution
2
predictive signals
2
price impact
2
Bayesian learning
1
Catalytic superprocess
1
Exchange rate policy
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Forecasting model
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Hamilton-Jacobi-Bellman equations
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Learning process
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Optimal portfolio choice
1
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1
Predictive signals
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Prognoseverfahren
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Spieltheorie
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Stochastic optimal control
1
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Article in journal
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8
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English
8
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Neuman, Eyal
4
Schied, Alexander
3
Alfonsi, Aurélien
1
Bellani, Claudio
1
Bismuth, Alexis
1
Brigo, Damiano
1
Dai, Yu-Hong
1
Done, Alex
1
Guéant, Olivier
1
Klöck, Florian
1
Lehalle, Charles-Albert
1
Li, Xuepeng
1
Meihua, Wang
1
Pu, Jiang
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Voß, Moritz
1
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1
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Finance and stochastics
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International journal of financial engineering
1
International transactions in operational research : a journal of the International Federation of Operational Research Societies
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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1
Trading with the crowd
Neuman, Eyal
;
Voß, Moritz
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 548-617
Persistent link: https://www.econbiz.de/10014329897
Saved in:
2
New insights and augmented Lagrangian algorithm for
optimal
portfolio
liquidation
with market impact
Xu, Fengmin
;
Li, Xuepeng
;
Dai, Yu-Hong
;
Meihua, Wang
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2640-2664
Persistent link: https://www.econbiz.de/10014261199
Saved in:
3
Optimal trading : the importance of being adaptive
Bellani, Claudio
;
Brigo, Damiano
;
Done, Alex
;
Neuman, Eyal
- In:
International journal of financial engineering
8
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012815097
Saved in:
4
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
Bismuth, Alexis
;
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematics and financial economics
13
(
2019
)
4
,
pp. 661-719
Persistent link: https://www.econbiz.de/10012055900
Saved in:
5
Incorporating signals into optimal trading
Lehalle, Charles-Albert
;
Neuman, Eyal
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 275-311
Persistent link: https://www.econbiz.de/10012023738
Saved in:
6
A state-constrained differential game arising in
optimal
portfolio
liquidation
Schied, Alexander
;
Zhang, Tao
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 779-802
Persistent link: https://www.econbiz.de/10011764972
Saved in:
7
Optimal
portfolio
liquidation
in target zone models and catalytic superprocesses
Neuman, Eyal
;
Schied, Alexander
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 495-509
Persistent link: https://www.econbiz.de/10011471483
Saved in:
8
Multivariate transient price impact and matrix-valued positive definite functions
Alfonsi, Aurélien
;
Klöck, Florian
;
Schied, Alexander
- In:
Mathematics of operations research
41
(
2016
)
3
,
pp. 914-934
Persistent link: https://www.econbiz.de/10011520739
Saved in:
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