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Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters - MaRDI portal

Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters (Q3586151)

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Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
scientific article

    Statements

    title
    Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters (English)
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    author
    Somayeh Moazeni
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    Thomas F. Coleman
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    Yuying Li
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    publication date
    6 September 2010
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    zbMATH Keywords
    price impact
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    execution cost problem
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    estimation error
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    sensitivity analysis
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    Identifiers

    DOI
    10.1137/080715901
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    Mathematics Subject Classification ID
    91G10
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    90C31
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    90C90
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    zbMATH DE Number
    5779393
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    OpenAlex ID
    W1966545818
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