Browsing Mathematics (Faculty of) by Author "Tse, Shu Tong"
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Numerical Methods for Optimal Trade Execution
Tse, Shu Tong (University of Waterloo, 2012-09-19)Optimal trade execution aims at balancing price impact and timing risk. With respect to the mathematical formulation of the optimization problem, we primarily focus on Mean Variance (MV) optimization, in which the two ...