Optimal trade execution with uncertain volume target
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as in the power market, in which the volume to be traded can o...
| Autores principales: | , |
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| Formato: | Journal article |
| Lenguaje: | English |
| Publicado: |
Infopro Digital Services
2022
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