Trading with Small Nonlinear Price Impact

Optimal Execution and Rebalancing of Active Investments
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Author
Cayé, Thomas
Date
2017
Type
  • Doctoral Thesis
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-b-000210462
Publication status
published
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Contributors
Examiner: Muhle-Karbe, Johannes
Examiner: Soner, H. Mete
Examiner: Guasoni, Paolo
Examiner: Herdegen, Martin
Publisher
ETH Zurich
Subject
Mathematical Finance; Portfolio Optimization; Optimal Execution; Price Impact; Nonlinear Transaction Costs
Organisational unit
03899 - Muhle-Karbe, Johannes (ehemalig)
03844 - Soner, Mete / Soner, Mete  
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