Optimal Strategies at a Limit Order Market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F06%3A00041428" target="_blank" >RIV/67985556:_____/06:00041428 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Optimal Strategies at a Limit Order Market
Original language description
We define a decision problem of an investor, trading continuously at a limit order market, maximizing a utility from his wealth at a random time horizon. We show that, in special cases (e.g. risk neutrality, quadratic or exponential utility function), the problem may be factorized and, given additional restrictions, it may even be solved.
Czech name
—
Czech description
—

Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2006
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 24th International Conference Mathematical Methods in Economics 2006
ISBN
978-80-7043-480-2
ISSN
—
e-ISSN
—
Number of pages
4
Pages from-to
—
Publisher name
University of West Bohemia in Pilsen
Place of publication
Plzeň
Event location
Plzeň
Event date
Sep 13, 2006
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
—

Similar results(10)