Park Sanghyun

Bloomberg Tradebook

731 Lexington Avenue

New York, NY 10022

United States

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Scholarly Papers (1)

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Optimal Closing-Price Strategy: Peculiarities and Practicalities

Number of pages: 18 Posted: 17 Apr 2016
Yu Hang (Gabriel) Kan and Park Sanghyun
Bloomberg Tradebook and Bloomberg Tradebook
Downloads 322 (114,777)

Abstract:

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optimal trading strategy, closing price, closing auction, efficient frontier, mean-variance optimization, market impact, risk aversion