Optimal trade execution: a mean quadratic variation approach
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Publication:318882
DOI10.1016/j.jedc.2012.05.007zbMath1347.91228OpenAlexW2118131312MaRDI QIDQ318882
H. Windcliff, S. T. Tse, J. S. Kennedy, Peter A. I. Forsyth
Publication date: 6 October 2016
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2012.05.007
Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)
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Uses Software
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