Pages that link to "Item:Q964670"
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The following pages link to Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (Q964670):
Displaying 24 items.
- RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES (Q4909145) (← links)
- Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters (Q4958393) (← links)
- Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (Q5071495) (← links)
- OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK (Q5121205) (← links)
- Finite horizon optimal execution with bounded rate of transaction (Q5243383) (← links)
- Optimal liquidation in dark pools (Q5245909) (← links)
- Optimal Execution with Multiplicative Price Impact (Q5250046) (← links)
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (Q5262510) (← links)
- PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (Q5262511) (← links)
- OPTIMAL EXECUTION HORIZON (Q5262523) (← links)
- IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING (Q5281718) (← links)
- A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION (Q5283403) (← links)
- Price manipulation in a market impact model with dark pool (Q5373912) (← links)
- Utility maximization in an illiquid market (Q5410805) (← links)
- OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL (Q5854316) (← links)
- New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact (Q6056327) (← links)
- Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case (Q6078432) (← links)
- The optimal investment problem with inflation and liquidity risk (Q6079953) (← links)
- Trading Constraints in Continuous-Time Kyle Models (Q6100505) (← links)
- Optimal execution with multiplicative price impact and incomplete information on the return (Q6111009) (← links)
- Optimal liquidation through a limit order book: a neural network and simulation approach (Q6164829) (← links)
- Dynamic trading volume (Q6497100) (← links)
- Optimal liquidation with dynamic parameter updating: a forward approach (Q6586873) (← links)
- Do price trajectory data increase the efficiency of market impact estimation? (Q6587733) (← links)