搜索结果: 1-3 共查到“理论经济学 Liquidation”相关记录3条 . 查询时间(0.068 秒)
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new
angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or
only on the liqu...
Optimal Liquidation Strategies Regularize Portfolio Selection
Optimal Liquidation Strategies Regularize Portfolio Selection
2010/10/19
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...
Optimal Liquidation Strategies Regularize Portfolio Selection
Expected Shortfall portfolio optimization market impact
2010/4/28
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...