Xue Cheng

Peking University - School of Mathematical Sciences

Peking

China

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Optimal Execution with Uncertain Order Fills in Almgren-Chriss Framework

Number of pages: 33 Posted: 18 Jul 2015 Last Revised: 17 Dec 2015
Peking University - School of Mathematical Sciences, University of Cassino and Baruch College, CUNY
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Abstract:

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Hamilton-Jacobi-Bellman equation, optimal execution, order fill uncertainty, price impact, stochastic control, utility maximization