Optimal portfolio execution under time-varying liquidity constraints
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Publication:5373911
DOI10.1080/1350486X.2017.1405731zbMath1398.91536OpenAlexW2772095020MaRDI QIDQ5373911
Publication date: 6 April 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2017.1405731
convex programmingKarush-Kuhn-Tucker conditionsmarket impact modellimit order marketoptimal portfolio execution
Cites Work
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- Optimal execution with limit and market orders
- Optimal Portfolio Liquidation with Limit Orders
- Optimal execution strategies in limit order books with general shape functions
- Optimal trade execution in order books with stochastic liquidity
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