Pages that link to "Item:Q3006607"
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The following pages link to OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (Q3006607):
Displaying 16 items.
- OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL (Q5854316) (← links)
- On Regularized Optimal Execution Problems and Their Singular Limits (Q5879351) (← links)
- Optimal Execution: A Review (Q5879357) (← links)
- Portfolio liquidation games with self‐exciting order flow (Q6054433) (← links)
- New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact (Q6056327) (← links)
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics (Q6069774) (← links)
- A discrete-time optimal execution problem with market prices subject to random environments (Q6081612) (← links)
- Optimal execution with multiplicative price impact and incomplete information on the return (Q6111009) (← links)
- Accelerated Share Repurchases Under Stochastic Volatility (Q6112768) (← links)
- Duality theory for exponential utility-based hedging in the Almgren-Chriss model (Q6500021) (← links)
- Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies (Q6565560) (← links)
- Optimal liquidation with high risk aversion and small linear price impact (Q6581912) (← links)
- Do price trajectory data increase the efficiency of market impact estimation? (Q6587733) (← links)
- Optimal trading and competition with information in the price impact model (Q6592284) (← links)
- Continuity problem for BSDE and IPDE with singular terminal condition (Q6640879) (← links)
- Mean-field liquidation games with market drop-out (Q6641082) (← links)
