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Optimal Portfolio Execution Using Market and Limit Orders · Study

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PreprintOptimal Portfolio Execution Using Market and Limit Orders

Robert Huitema2012

OA

Preprintgreen2012

Optimal Portfolio Execution Using Market and Limit Orders

25 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1985Continuous Auctions and Insider Trading 2007Brownian Motion and Stochastic Calculus 1987Price, trade size, and information in securities markets 1998Brownian Motion and Stochastic Calculus 2001Optimal execution of portfolio transactions 1998Optimal control of execution costs 2012Optimal trading strategy and supply/demand dynamics 2010A Stochastic Model for Order Book Dynamics

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Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1977553

openalex_workW2228071580

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