Studies on optimal trade execution
<p> This dissertation deals with the question of how to optimally execute orders for financial assets that are subject to transaction costs. We study the problem in a discrete–time model where the asset price processes of interest are subject to stochastic volatility and liquidity....
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| Language: | EN |
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Princeton University
2015
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| Online Access: | http://pqdtopen.proquest.com/#viewpdf?dispub=3682773 |