"Optimal control of execution costs for portfolios."

Dimitris Bertsimas, Andrew W. Lo, Paul Hummel (1999)

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DOI: 10.1109/5992.805135

access: closed

type: Journal Article

metadata version: 2022-08-16

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Dimitris Bertsimas, Andrew W. Lo, Paul Hummel:
Optimal control of execution costs for portfolios. Comput. Sci. Eng. 1(6): 40-53 (1999)

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