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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
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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
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Algorithmic trading of co-integrated assets
Cartea, Álvaro; Jaimungal, Sebastian - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-18
Persistent link: https://www.econbiz.de/10011572368
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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
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Bubbles in assets with finite life
Berestycki, Henri; Bruggeman, Cameron; Monneau, Regis; … - In: Mathematics and financial economics 13 (2019) 3, pp. 429-458
Persistent link: https://www.econbiz.de/10012055863
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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
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Optimal limit order book trading strategies with stochastic volatility in the underlying asset
Aydoğan, Burcu; Uğur, Ömür; Aksoy, Ümit - In: Computational economics 62 (2023) 1, pp. 289-324
Persistent link: https://www.econbiz.de/10014327497
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A generalized earnings-based stock valuation model with learning
Jacoby, Gady; Paseka, Alexander; Wang, Yan - In: The financial review : the official publication of the … 52 (2017) 2, pp. 199-232
Persistent link: https://www.econbiz.de/10011690697
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Portfolio optimization under partial information and convex constraints in a hidden Markov model
Sass, Jörn - In: Operations research proceedings 2005 : selected papers …, (pp. 223-228). 2006
Persistent link: https://www.econbiz.de/10003347537
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Portfolio optimization under partial information : computation of optimal portfolio strategies
Putschögl, Wolfgang - 2007
Persistent link: https://www.econbiz.de/10003838292