Results 201 to 210 of about 11,370,086 (322)

The Double-Layer Potential for Spectral Constants Revisited. [PDF]

open access: yesIntegr Equ Oper Theory
Schwenninger FL, de Vries J.
europepmc   +1 more source

Optimal Contracts for Delegated Order Execution

open access: yesMathematical Finance, EarlyView.
ABSTRACT We determine the optimal affine contract for a client who delegates their order execution to a dealer. Existence and uniqueness are established for general linear price impact dynamics of the dealer's trades. Explicit solutions are available for the model of Obizhaeva and Wang, for example, and a simple gradient descent algorithm is applicable
Martin Larsson   +2 more
wiley   +1 more source

Optimal Liquidation With Signals: The General Propagator Case

open access: yesMathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra‐type propagator along with temporary price impact. We formulate these problems as maximization of a revenue‐risk functionals, where the agent also exploits available information on a progressively measurable ...
Eduardo Abi Jaber, Eyal Neuman
wiley   +1 more source

Flummoxing expectations

open access: yesNoûs, EarlyView.
Abstract Expected utility theory often falls silent, even in cases where the correct rankings of options seems obvious. For instance, it fails to compare the Pasadena game to the Altadena game, despite the latter turning out better in every state. Decision theorists have attempted to fill these silences by proposing various extensions to expected ...
Hayden Wilkinson
wiley   +1 more source

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