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    ANOR
    2007
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    A sample-path approach to optimal position liquidation
    13 years 5 months ago
    A sample-path approach to optimal position liquidation
    Download  www.engineering.uiowa.edu
    We consider the problem of optimal position liquidation with the aim of maximizing the expected cash flow stream from the transaction in the presence of temporary or permanent ma...
    Pavlo A. Krokhmal, Stan Uryasev
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