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Managing Investment and Liquidity Risks Within Nonfundamental Market Sell-off and Volatility Feedback Loops: A Market Impact Perspective
the course of several days [0,T] by means of a dynamic order execution strategy that ought to adapt to ... function can be approximated as: We then set up the dynamic programming problem where we parameterize as before ...- Authors: Aymeric Kalife
- Date: Mar 2019
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Life Insurance