Optimal trade execution: A mean quadratic variation approach

Journal of Economic Dynamics and Control

Volumn 36, Issue 12, 2012, Pages 1971-1991

  Forsyth, P A ^a   Kennedy, J S ^b   Tse, S T ^a   Windcliff, H ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b MORGAN STANLEY   (United States)

Author keywords

HJB equation; Mean quadratic variation; Optimal trading

Indexed keywords

EID: 84866279602     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2012.05.007     Document Type: Article

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