A class of optimal liquidation problem with a nonlinear temporary market impact
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Publication:2217828
DOI10.1155/2020/6614177zbMath1459.91064OpenAlexW3113887773MaRDI QIDQ2217828
Publication date: 14 January 2021
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/6614177
Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Portfolio theory (91G10)
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