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Optimal liquidation under stochastic price impact

Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012012935

On optimal options book execution strategies with market impact

Kalife, Aymeric; Mouti, Saad - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-40

Persistent link: https://www.econbiz.de/10011715825

Mean-variance portfolio selection in presence of infrequently traded stocks

Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449

Persistent link: https://www.econbiz.de/10010356733

Market making and portfolio liquidation under uncertainty

Nyström, Kaj; Aly, Sidi Mohamed Ould; Zhang, Changyong - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-33

Persistent link: https://www.econbiz.de/10010437189

Optimal market making under partial information with general intensities

Campi, Luciano; Zabaljauregui, Diego - In: Applied mathematical finance 27 (2020) 1/2, pp. 1-45

Persistent link: https://www.econbiz.de/10012254093

Portfolio optimization for a large investor under partial information and price impact

Eksi, Zehra; Ku, Hyejin - In: Mathematical methods of operations research 86 (2017) 3, pp. 601-623

Persistent link: https://www.econbiz.de/10011793402

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063