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"Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple Clients."

Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster (2023)

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DOI: 10.1137/22M1490156

access: closed

type: Journal Article

metadata version: 2023-08-18

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  - journals/siamfm/AlvarezNW23
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  - https://dblp.org/rec/journals/siamfm/AlvarezNW23
Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster:
Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple Clients. SIAM J. Financial Math. 14(3): 855-878 (2023)

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