Elie Benveniste

New York University (NYU) - Courant Institute of Mathematical Sciences

New York University

New York, NY 10012

United States

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Optimal Microstructure Trading with a Long-Term Utility Function

Number of pages: 26 Posted: 24 Oct 2017 Last Revised: 03 Dec 2017
Elie Benveniste and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
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Abstract:

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Finance, Investment Analysis, Optimal Execution, Market Microstructure