The optimal portfolio execution problem with the stochastic market depth

FENG Ling, LIN Yu, WU Weiping, WANG Tongyao

Systems Engineering - Theory & Practice ›› 2022, Vol. 42 ›› Issue (7) : 1811-1825.

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Systems Engineering - Theory & Practice ›› 2022, Vol. 42 ›› Issue (7) : 1811-1825. DOI: 10.12011/SETP2021-1849

The optimal portfolio execution problem with the stochastic market depth

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2022, 42(7): 1811-1825 https://doi.org/10.12011/SETP2021-1849

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