Numerical Methods for Optimal Trade Execution
Optimal trade execution aims at balancing price impact and timing risk. With respect to the mathematical formulation of the optimization problem, we primarily focus on Mean Variance (MV) optimization, in which the two conflicting objectives are maximizing expected revenue (the flip side of trading i...
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| Language: | en |
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2012
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| Online Access: | http://hdl.handle.net/10012/6999 |