Trading with Small Nonlinear Price Impact
Optimal Execution and Rebalancing of Active Investments
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Date
2017Type
- Doctoral Thesis
ETH Bibliography
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https://doi.org/10.3929/ethz-b-000210462Publication status
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Contributors
Examiner: Muhle-Karbe, JohannesExaminer: Soner, H. Mete
Examiner: Guasoni, Paolo
Examiner: Herdegen, Martin
Publisher
ETH ZurichSubject
Mathematical Finance; Portfolio Optimization; Optimal Execution; Price Impact; Nonlinear Transaction CostsOrganisational unit
03899 - Muhle-Karbe, Johannes (ehemalig)03844 - Soner, Mete
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ETH Bibliography
yes
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