Optimal Execution of Portfolio Transactions with Short-Term Alpha

Market Microstructure: Confronting Many Viewpoints

Volumn , Issue , 2013, Pages 187-211

  Criscuolo, Adriana M ^a   Waelbroeck, Henri ^a  

^a NONE

Author keywords

Hidden order arbitrage theory; Optimal execution; Risk term; Risk adjusted optimization; Short term alpha decay

Indexed keywords

EID: 84886113339     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9781118673553.ch9     Document Type: Chapter

References (0)