Optimal trading strategy under linear-percentage temporary...

Optimal trading strategy under linear-percentage temporary impact price dynamics with conditional value-at-risk as timing risk measure

Singh, Arti, Dharmaraja, Selvamuthu
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Volume:
2
Year:
2016
Journal:
International Journal of Decision Support Systems
DOI:
10.1504/ijdss.2016.081740
File:
PDF, 554 KB
2016
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