Optimal execution with multiplicative price impact and incomplete information on the return
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DOI: 10.1007/s00780-023-00508-y
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Cited by:
- Etienne Chevalier & Yadh Hafsi & Vathana Ly Vath, 2024. "Optimal Execution under Incomplete Information," Papers 2411.04616, arXiv.org.
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More about this item
Keywords
Optimal execution problem; Multiplicative price impact; Singular stochastic control; Partial observation; Optimal stopping;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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