15 citations · 48 across the 12 of their papers we have counts for
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q-fin.RM2017★ 2 cited
Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level
Takashi Kato
We study the asymptotic behavior of the difference as , where is a risk measure equipped with a confidence level parameter…
q-fin.MF2017★ 1 cited
An Optimal Execution Problem with S-shaped Market Impact Functions
Takashi Kato
In this study, we extend the optimal execution problem with convex market impact function studied in Kato (2014) to the case where the market impact function is S-shaped, that is,…
q-fin.TR2017★ 1 cited
An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model
Takashi Kato
In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for…