Optimal trade execution under geometric brownian motion in the Almgren and Chriss framework

International Journal of Theoretical and Applied Finance

Volumn 14, Issue 3, 2011, Pages 353-368

  Gatheral, Jim ^a   Schied, Alexander ^b  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b UNIVERSITY OF MANNHEIM   (Germany)

Author keywords

HJB; market impact; optimal execution; risk measures

Indexed keywords

EID: 79958081017     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024911006577     Document Type: Article

References (13)

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