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35
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ANOR
2007
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ANOR 2007
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A sample-path approach to optimal position liquidation
13 years 11 months ago
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www.engineering.uiowa.edu
We consider the problem of optimal position liquidation with the aim of maximizing the expected cash flow stream from the transaction in the presence of temporary or permanent ma...
Pavlo A. Krokhmal, Stan Uryasev
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