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Optimal Liquidation Strategies Regularize Portfolio Selection
Optimal Liquidation Strategies Regularize Portfolio Selection
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2010/10/19
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...
Optimal Liquidation Strategies Regularize Portfolio Selection
Expected Shortfall portfolio optimization market impact
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2010/4/28
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...