A Markov-Driven Portfolio Execution Strategy with Market Impact (Q5197251)
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scientific article; zbMATH DE number 7109358
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Markov-Driven Portfolio Execution Strategy with Market Impact |
scientific article; zbMATH DE number 7109358 |
Statements
A Markov-Driven Portfolio Execution Strategy with Market Impact (English)
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20 September 2019
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Hamilton-Jacobi-Bellman equation
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limit order book
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dynamic programming principle
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market impact
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quadratic programming
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