Optimal portfolio liquidation with execution cost and risk

SIAM Journal on Financial Mathematics

Volumn 1, Issue 1, 2010, Pages 897-931

  Kharroubi, Idris ^a   Pham, Huyen ^a,b  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b CREST   (France)

Author keywords

Execution trade; Impulse control; Liquidity effects; Optimal portfolio liquidation; Order book; Viscosity solutions

Indexed keywords

EID: 84871083451     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/09076372X     Document Type: Article

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