Work

Optimal control of execution costs for portfolios

Year: 1999

Type: article

Source: Computing in Science & Engineering

DOI: 10.1109/5992.805135

Authors: D. Bertimas, A.W. Lo, P. Hummel

Institution: Massachusetts Institute of Technology

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1994631496

FWCI: 0.688

Cites: 17

Cited by: 66

Related to: 10