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Optimal portfolio liquidation with execution cost and risk

By I. Kharroubi and H. Pham

Abstract

International audienc

Topics: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR]
Publisher: HAL CCSD
Year: 2010
OAI identifier: oai:HAL:hal-00704710v1
Provided by: Hal-Diderot
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