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

Tue, 01 Jan 2013 00:00:00 +0100

Reshma Khemchandani , Nishil Gupta, Arpit Chaudhary, Suresh Chandra:
Optimal execution with weighted impact functions: a quadratic programming approach. Optim. Lett. 7(3): 575-592 (2013)