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Viscosity solution for optimal liquidation problems with randomly-terminated horizon. (2024). Ching, Wai-Ki ; Wong, Tak Kwong ; Yang, Qing-Qing ; Gu, Jia-Wen ; Zhu, Dong-Mei.
In: Finance Research Letters.
RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000734.

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  1. Viscosity solution for optimal liquidation problems with randomly-terminated horizon. (2024). Ching, Wai-Ki ; Wong, Tak Kwong ; Yang, Qing-Qing ; Gu, Jia-Wen ; Zhu, Dong-Mei.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000734.

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  2. David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs. (2021). Kashyap, Ravi.
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  5. Periodic strategies in optimal execution with multiplicative price impact. (2018). Moreno-Franco, Harold A ; Hern, Daniel .
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  6. Optimal Liquidation Problems in a Randomly-Terminated Horizon. (2017). Ching, Wai-Ki ; Wong, Tak Kwong ; Yang, Qing-Qing ; Gu, Jia-Wen.
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  41. Optimal trading execution with nonlinear market impact: an alternative solution method. (2011). Zagaglia, Paolo ; Ritelli, Daniele ; Marzo, Massimiliano ; Daniele, Ritelli ; Massmiliano, Marzo ; Paolo, Zagaglia .
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  51. Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision. (2007). Schied, Alexander ; Schöneborn, Torsten.
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  52. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
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