Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (Q2864791)
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scientific article; zbMATH DE number 6232871
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal execution strategy in the presence of permanent price impact and fixed transaction cost |
scientific article; zbMATH DE number 6232871 |
Statements
Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (English)
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26 November 2013
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price impact
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impulse control
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singular control
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dynamic programming
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viscosity solutions
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