Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
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Publication:285995
DOI10.1007/s10479-013-1391-7zbMath1336.90067OpenAlexW1982561848MaRDI QIDQ285995
Thomas F. Coleman, Yuying Li, Somayeh Moazeni
Publication date: 19 May 2016
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-013-1391-7
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Uses Software
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