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Search: subject:"Optimal trade execution"
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Portfolio selection
8
Portfolio-Management
8
optimal trade execution
8
Optimal trade execution
7
Securities trading
7
Wertpapierhandel
7
Theorie
6
Theory
6
Stochastic process
4
Stochastischer Prozess
4
Mathematical programming
3
Mathematische Optimierung
3
Control theory
2
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2
Elektronisches Handelssystem
2
HJB equation
2
Hamilton-Jacobi-Bellman equation
2
Kontrolltheorie
2
Liquidity
2
Liquidität
2
Market impact
2
Risikomaß
2
Risk measure
2
algorithmic trading
2
illiquid markets
2
optimal liquidation
2
optimal portfolio liquidation
2
Absolute risk aversion
1
Aggressive in the money
1
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1
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1
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Continuous-time stochastic optimal control
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Schied, Alexander
8
Frei, Christoph
2
Klöck, Florian
2
Lorenz, Christopher
2
Westray, Nicholas
2
Ackermann, Julia
1
Agliardi, Rossella
1
Alfonsi, Aurélien
1
Bordigoni, Giuliana
1
Brigo, Damiano
1
Cheridito, Patrick
1
Daníelsson, Jón
1
Di Graziano, Giuseppe
1
Figalli, Alessio
1
Gatheral, Jim
1
Gençay, Ramazan
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Applied mathematical finance
3
Finance and Stochastics
2
Finance and stochastics
2
International journal of theoretical and applied finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Applied Mathematical Finance
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Journal of financial engineering
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Mathematics of operations research
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SRC discussion paper : discussion paper series
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ECONIS (ZBW)
13
RePEc
3
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1
Strategic execution trajectories
Bordigoni, Giuliana
;
Figalli, Alessio
;
Ledford, Anthony
; …
- In:
Applied mathematical finance
29
(
2022
)
4
,
pp. 288-330
Persistent link: https://www.econbiz.de/10014291948
Saved in:
2
Market resilience
Daníelsson, Jón
;
Panayi, Efstathios
;
Peters, Gareth
; …
-
2018
Persistent link: https://www.econbiz.de/10012213912
Saved in:
3
Càdlàg semimartingale strategies for
optimal
trade
execution
in stochastic order book models
Ackermann, Julia
;
Kruse, Thomas
;
Urusov, Mikhail
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 757-810
Persistent link: https://www.econbiz.de/10012665227
Saved in:
4
Optimal execution in Hong Kong given a market-on-close benchmark
Frei, Christoph
;
Westray, Nicholas
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 655-671
Persistent link: https://www.econbiz.de/10011906452
Saved in:
5
Optimal trading strategies with limit orders
Agliardi, Rossella
;
Gençay, Ramazan
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011686803
Saved in:
6
Price manipulation in a market impact model with dark pool
Klöck, Florian
;
Schied, Alexander
;
Sun, Yuemeng
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 417-450
Persistent link: https://www.econbiz.de/10011815281
Saved in:
7
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:
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:
9
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
Saved in:
10
Optimal
trade
execution
under stochastic volatility and liquidity
Cheridito, Patrick
;
Sepin, Tardu
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 342-362
Persistent link: https://www.econbiz.de/10010499674
Saved in:
1
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