Optimal execution with uncertain order fills in Almgren–Chriss framework

DOI10.1080/14697688.2016.1185531zbMath1402.91674OpenAlexW3124237207MaRDI QIDQ4555058

Xue Cheng, Marina Di Giacinto, Tai-Ho Wang

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1185531

zbMATH Keywords

stochastic optimal controlutility maximizationprice impactoptimal executionorder fill uncertainty

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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