𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Optimal Trading with Stochastic Liquidity and Volatility

✍ Scribed by Almgren, Robert

Book ID
118203628
Publisher
Society for Industrial and Applied Mathematics
Year
2012
Tongue
English
Weight
528 KB
Volume
3
Category
Article
ISSN
1945-497X

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Optimal portfolio choice and stochastic
Optimal portfolio choice and stochastic volatility
✍ Anne Gron; Bjørn N. Jørgensen; Nicholas G. Polson 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 647 KB

## Abstract In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both partial and general equilibrium settings. In a partial equilibrium setting we derive an analog of the classic Samuelson–Merton optimal portfolio result and define volatility‐adjusted risk av