Optimal execution strategy in the presen
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Mauricio Junca
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Article
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2011
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John Wiley and Sons
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English
β 686 KB
## SUMMARY We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset, affecting the price of the asset and possibly incurring a fixed transaction cost. The objective is to maximize t