Arbeitspapier
When to cross the spread: Curve following with singular control
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 discussion paper; No. 2011-053
Bezug (was)
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
stochastic maximum principle
convex analysis
fully coupled forward backward stochastic differential equations
trading in illiquid markets
Bid-Ask Spread
Wertpapierhandel
Kontrolltheorie
Marktliquidität
Analysis
Stochastischer Prozess
Theorie
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
stochastic maximum principle
convex analysis
fully coupled forward backward stochastic differential equations
trading in illiquid markets
Bid-Ask Spread
Wertpapierhandel
Kontrolltheorie
Marktliquidität
Analysis
Stochastischer Prozess
Theorie
Beteiligte Personen und Organisationen
Naujokat, Felix
Horst, Ulrich
Berlin: SFB 649, Economic Risk
Horst, Ulrich
Berlin: SFB 649, Economic Risk
Erschienen
Berlin: SFB 649, Economic Risk
- Rechteinformation
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft
- Letzte Aktualisierung
-
18.10.2021, 08:58 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Naujokat, Felix
- Horst, Ulrich
- Berlin: SFB 649, Economic Risk
Entstanden
- Berlin: SFB 649, Economic Risk
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