Optimal trade execution with uncertain volume target

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...

書誌詳細
主要な著者:	Vaes, J, Hauser, R
フォーマット:	Journal article
言語:	English
出版事項:	Infopro Digital Services 2022

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