Optimal execution strategy in the presence of permanent price impact and fixed transaction cost

DOI10.1002/oca.1022zbMath1275.91060arXiv1007.0199OpenAlexW2964061027MaRDI QIDQ2864791

Mauricio Junca

Publication date: 26 November 2013

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.0199

zbMATH Keywords

dynamic programmingviscosity solutionsimpulse controlsingular controlprice impact

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Microeconomic theory (price theory and economic markets) (91B24) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (1)

An optimal time-management policy for labor supply and consumption decisions

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