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Optimal execution with weighted impact functions: a quadratic programming approach.

Reshma KhemchandaniNishil GuptaArpit ChaudharySuresh Chandra
Published in: Optim. Lett. (2013)
Keyphrases
  • quadratic programming
  • linear programming
  • dynamic programming
  • ls svm
  • optimal solution
  • worst case
  • closed form