13 citations · 25 across the 16 of their papers we have counts for
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q-fin.TR2011★ 1 cited
Stochastic impulse control on optimal execution with price impact and transaction cost
Mauricio Junca
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset af…
q-fin.TR2010
Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
Mauricio Junca
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affec…