OpenAlex | Explicit Solution for Constrained Optimal Execution Problem with General Correlated Market Depth

Explicit Solution for Constrained Optimal Execution Problem with General Correlated Market Depth

Work

Year: 2018

Type: article

Source: Journal of the Operations Research Society of China

Authors Weiping Wu, Jianjun Gao

Institutions Shanghai Jiao Tong University, Shanghai University of Finance and Economics

Cites: 24

Cited by:

Related to: 10

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Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

Funder National Natural Science Foundation of China

Grant ID 61573244