University of Waterloo

Optimal basket liquidation for CARA investors is deterministic

Schied, Alexander , Torsten Schöneborn, and Michael Tehranchi. “Optimal basket liquidation for CARA investors is deterministic”. Appl. Math. Finance 17 (2010): 471–489.

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M3 3132

519-888-4567, ext. 41563

aschied@uwaterloo.ca

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