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A model for a large investor trading at market indifference prices. I: Single-period case.

Peter BankDmitry O. Kramkov
Published in: Finance Stochastics (2015)
Keyphrases
  • single period
  • foreign exchange
  • decision making
  • stochastic model
  • electronic commerce
  • electricity markets
  • stochastic process
  • utility maximization