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Optimal portfolio liquidation with cross-price impacts on trading.

Yi LiJu'e GuoKin Keung LaiJinzhao Shi
Published in: Oper. Res. (2022)
Keyphrases
  • optimal portfolio
  • portfolio selection
  • financial markets
  • electronic commerce
  • expected utility
  • portfolio optimization
  • electricity markets
  • long term
  • multistage
  • portfolio management