Optimal portfolio execution with a Markov chain approximation approach (Q5877565)
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scientific article; zbMATH DE number 7653422
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio execution with a Markov chain approximation approach |
scientific article; zbMATH DE number 7653422 |
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Optimal portfolio execution with a Markov chain approximation approach (English)
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14 February 2023
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portfolio execution
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Markov chain approximation
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multi-dimensional binomial method
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linear extrapolation
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cross-asset price impact
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