OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL
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Publication:5854316
DOI10.1142/S0219024920500491zbMath1459.91177arXiv2002.03376OpenAlexW3107810529MaRDI QIDQ5854316
Publication date: 16 March 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.03376
optimal controlHamilton-Jacobi-Bellman equationLévy processesoptimal liquidationoptimal executionmarket impactalgorithmic tradingconstant absolute risk aversionAlmgren-Chriss model
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Portfolio theory (91G10)
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Cites Work
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