Block Trading: Building up a Stock Position Under a Regime Switching Model
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DOI: 10.1007/s11009-019-09698-5
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References listed on IDEAS
- Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alex, 2010. "On mean-variance portfolio selection under a hidden Markovian regime-switching model," Economic Modelling, Elsevier, vol. 27(3), pages 678-686, May.
- Moustapha Pemy & Qing Zhang & G. George Yin, 2008. "Liquidation Of A Large Block Of Stock With Regime Switching," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 629-648, October.
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Keywords
Block trading; Constrained optimal control; Regime switching;All these keywords.
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