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Optimal portfolio execution under time-varying liquidity constraints - MaRDI portal

Optimal portfolio execution under time-varying liquidity constraints (Q5373911)

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scientific article; zbMATH DE number 6856771
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English
Optimal portfolio execution under time-varying liquidity constraints
scientific article; zbMATH DE number 6856771

    Statements

    title
    Optimal portfolio execution under time-varying liquidity constraints (English)
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    author
    Huayi Lin
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    Arash Fahim
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    publication date
    6 April 2018
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    zbMATH Keywords
    optimal portfolio execution
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    limit order market
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    market impact model
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    convex programming
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    Karush-Kuhn-Tucker conditions
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    cites work
    Q3534743
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    Q4821526
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    Q5263525
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    Identifiers

    zbMATH DE Number
    6856771
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    OpenAlex ID
    W2772095020
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