OPTIMAL EXECUTION STRATEGY UNDER ARITHMETIC BROWNIAN MOTION WITH VAR AND ES AS RISK PARAMETERS (Q5419792)
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scientific article; zbMATH DE number 6302823
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL EXECUTION STRATEGY UNDER ARITHMETIC BROWNIAN MOTION WITH VAR AND ES AS RISK PARAMETERS |
scientific article; zbMATH DE number 6302823 |
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OPTIMAL EXECUTION STRATEGY UNDER ARITHMETIC BROWNIAN MOTION WITH VAR AND ES AS RISK PARAMETERS (English)
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11 June 2014
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optimal trading
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price process, value at risk
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expected shortfall
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optimal control
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