7 citations · 7 across the 2 of their papers we have counts for
2 papers
q-fin.TR2021
Optimal order execution under price impact: A hybrid model
Marina Di Giacinto, Claudio Tebaldi, Tai-Ho Wang
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We der…
econ.TH2021★ 7 cited
Star-shaped Risk Measures
Erio Castagnoli, Giacomo Cattelan, Fabio Maccheroni +2
In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied. The measures in this cl…