Optimal liquidation strategies and their implications
type: Item
instance of: scholarly article
title: Optimal liquidation strategies and their implications
zbMATH Open document ID: 1201.91190
author: Christopher Ting
author: Mitch Warachka
author: Yonggan Zhao
publication date: 2009-05-18T00:00:00Z
full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/2697
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5554433
zbMATH Keywords: stochastic control
zbMATH Keywords: trading strategy
zbMATH Keywords: liquidity risk
zbMATH Keywords: transaction costs
zbMATH Keywords: stochastic volatility
MaRDI profile type: Publication
OpenAlex ID: W2063427656
cites work: Liquidity risk and arbitrage pricing theory
cites work: Q4794153
cites work: The liquidity discount.
DOI: 10.1016/J.JEDC.2006.07.003
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5554433