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    2010
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    Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
    13 years 6 months ago
    Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
    Download  orion.math.uwaterloo.ca
    When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy ...
    Somayeh Moazeni, Thomas F. Coleman, Yuying Li
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