Optimal liquidation in a limit order book for a risk-averse investor (Q2927947)
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scientific article; zbMATH DE number 6365990
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal liquidation in a limit order book for a risk-averse investor |
scientific article; zbMATH DE number 6365990 |
Statements
5 November 2014
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limit order book
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optimal liquidation
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optimal execution
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CARA utility
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singular control
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discontinuous intervention boundary
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0.9196882
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0.90987575
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0.9032478
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0.8976774
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0.89489466
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0.8835453
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0.88181436
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Optimal liquidation in a limit order book for a risk-averse investor (English)
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