Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions
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Publication:3456837
DOI10.1137/15M1007537zbMath1335.91070OpenAlexW3126119343MaRDI QIDQ3456837
Publication date: 9 December 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1007537
mean-variance optimizationoptimal trade executioncontinuous reoptimizationliquidation proceedstime-inconsistent optimization
Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Control/observation systems governed by ordinary differential equations (93C15) Portfolio theory (91G10)
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