"Optimal Portfolio Liquidation with Limit Orders."

Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia (2012)

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DOI: 10.1137/110850475

access: closed

type: Journal Article

metadata version: 2022-04-09

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Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia:
Optimal Portfolio Liquidation with Limit Orders. SIAM J. Financial Math. 3(1): 740-764 (2012)

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