Seungki Min

Korea Advanced Institute of Science and Technology (KAIST)

373-1 Kusong-dong

Yuson-gu

Taejon 305-701, 130-722

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

2

DOWNLOADS

152

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution

Columbia Business School Research Paper No. 19-4
Number of pages: 37 Posted: 20 Nov 2018
Korea Advanced Institute of Science and Technology (KAIST), Columbia University - Columbia Business School, Decision Risk and Operations and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 129 (300,614)
Citation 3

Abstract:

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portfolio execution, optimal liquidation, price impact

2.

Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective

Number of pages: 60 Posted: 18 Mar 2022
Korea Advanced Institute of Science and Technology (KAIST), Columbia University - Columbia Business School, Decision Risk and Operations and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 23 (671,234)

Abstract:

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optimal execution, algorithmic trading, conditional value-at-risk, risk measure