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"Optimal Portfolio Liquidation with Execution Cost and Risk."

Idris Kharroubi, Huyên Pham (2010)

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DOI: 10.1137/09076372X

access: closed

type: Journal Article

metadata version: 2017-05-17

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Idris Kharroubi, Huyên Pham:
Optimal Portfolio Liquidation with Execution Cost and Risk. SIAM J. Financial Math. 1(1): 897-931 (2010)

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