## 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
Optimal spot market inventory strategies in the presence of cost and price risk
β Scribed by X. Guo; P. Kaminsky; P. Tomecek; M. Yuen
- Publisher
- Springer
- Year
- 2010
- Tongue
- English
- Weight
- 490 KB
- Volume
- 73
- Category
- Article
- ISSN
- 0340-9422
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