| DC Field | Value | Language |
|---|
| dc.contributor.author | ROMERO SANPEDRO, JUAN MANUEL | - |
| dc.contributor.author | BAUTISTA, JORGE | - |
| dc.coverage.spatial | <dc:creator id="info:eu-repo/dai/mx/cvu/239423">JUAN MANUEL ROMERO SANPEDRO</dc:creator> | - |
| dc.coverage.temporal | <dc:subject>info:eu-repo/classification/cti/1</dc:subject> | - |
| dc.date.accessioned | 2021-05-12T21:36:56Z | - |
| dc.date.available | 2021-05-12T21:36:56Z | - |
| dc.date.issued | 2016 | - |
| dc.identifier.citation | arXiv.org Cornell University 2016 | en_US |
| dc.identifier.uri | http://ilitia.cua.uam.mx:8080/jspui/handle/123456789/783 | - |
| dc.description.abstract | We propose two methods to obtain exact solutions for the AlmgrenChriss model about optimal execution of portfolio transactions. In
the first method we rewrite the Almgren-Chriss equation and find
two exact solutions. In the second method, employing a general
reparametrized time, we show that the Almgren-Chriss equation can
be reduced to some known equations which can be exactly solved in
different cases. For this last case we obtain a quantity conserved. In
addition, we show that in both methods the Almgren-Chriss equation
is equivalent to a Riccati equation. | en_US |
| dc.description.sponsorship | Cornell University | en_US |
| dc.language.iso | Inglés | en_US |
| dc.publisher | Nueva York : Cornell University | en_US |
| dc.rights | https://arxiv.org/pdf/1601.07961.pdf | - |
| dc.subject | Ecuación de Riccati | en_US |
| dc.subject | Ecuación de Almgren-Chriss | en_US |
| dc.title | Exact solutions for optimal execution of portfolios transactions and the Riccati equation | en_US |
| dc.type | Artículo | en_US |
| Aparece en las colecciones: | Artículos
|
