Optimal execution with weighted impact functions: a quadratic programming approach (Q1941201)
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scientific article; zbMATH DE number 6143319
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal execution with weighted impact functions: a quadratic programming approach |
scientific article; zbMATH DE number 6143319 |
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Optimal execution with weighted impact functions: a quadratic programming approach (English)
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12 March 2013
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risk aversion
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risk neutral
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quadratic programming
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trading strategy
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