Optimal liquidation problem in illiquid markets
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Publication:2242363
DOI10.1016/j.ejor.2021.05.020zbMath1490.91192OpenAlexW3165195316MaRDI QIDQ2242363
Amirhossein Sadoghi, Jan Večeř
Publication date: 9 November 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.05.020
Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)
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