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Utility maximization in an illiquid market - MaRDI portal

Utility maximization in an illiquid market (Q5410805)

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scientific article; zbMATH DE number 6286600
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English
Utility maximization in an illiquid market
scientific article; zbMATH DE number 6286600

    Statements

    title
    Utility maximization in an illiquid market (English)
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    author
    Mirjana Vukelja
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    Halil Mete Soner
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    published in
    Stochastics
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    publication date
    17 April 2014
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    zbMATH Keywords
    liquidity risk
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    limit order book
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    price impact
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    utility maximization
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    dynamic programming
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    Identifiers

    Mathematics Subject Classification ID
    91B26
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    90C39
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    93E20
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    60H30
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    zbMATH DE Number
    6286600
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    Wikidata QID
    Q57635895
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    OpenAlex ID
    W3122349323
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