"Optimal portfolio execution problem with stochastic price impact."

Guiyuan Ma et al. (2020)

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DOI: 10.1016/J.AUTOMATICA.2019.108739

access: closed

type: Journal Article

metadata version: 2023-03-21

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Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu, Robert J. Elliott:
Optimal portfolio execution problem with stochastic price impact. Autom. 112 (2020)

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