Optimal execution with nonlinear impact functions and trading-enhanced risk

Applied Mathematical Finance

Volumn 10, Issue 1, 2003, Pages 1-18

  Almgren, Robert F ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

Liquidity modeling; Market impact; Trading strategy

Indexed keywords

EID: 0345060535     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048602100056     Document Type: Article

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