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"Optimal Portfolio Execution Strategies and Sensitivity to Price Impact ..."

Somayeh Moazeni, Thomas F. Coleman, Yuying Li (2010)

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DOI: 10.1137/080715901

access: closed

type: Journal Article

metadata version: 2023-10-24

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Somayeh Moazeni, Thomas F. Coleman, Yuying Li:
Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters. SIAM J. Optim. 20(3): 1620-1654 (2010)

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