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"Smoothing and parametric rules for stochastic mean-CVaR optimal execution ..."

Somayeh Moazeni, Thomas F. Coleman, Yuying Li (2016)

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DOI: 10.1007/S10479-013-1391-7

access: closed

type: Journal Article

metadata version: 2023-10-24

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Somayeh Moazeni, Thomas F. Coleman, Yuying Li:
Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy. Ann. Oper. Res. 237(1-2): 99-120 (2016)

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