Optimal trading with stochastic liquidity and volatility

SIAM Journal on Financial Mathematics

Volumn 3, Issue 1, 2012, Pages 163-181

  Almgren, Robert ^a,b  

^a NEW YORK UNIVERSITY   (United States)

^b Quantitative Brokers LLC   (United States)

Author keywords

Dynamic programming; Mean variance optimization; Optimal trading

Indexed keywords

EID: 84866306091     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/090763470     Document Type: Article

References (15)

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