Concepedia

Peter Lakner

PL

Statistics

Publications

12

Citations

732

H-Index

11

Active since

1993

Affiliations

New York University(Current)

Management Sciences (United States)

University of Alberta

Peter Lakner is an author at New York University specializing in business, finance, and engineering.

Top concepts

FinanceBusinessEngineeringAsset PricingEconomicsOperations ResearchStochastic CalculusStochastic ProcessesProbabilityBrownian Motion

Publications per year

1993–2022

12

Publications

12

Optimal trading strategy for an investor: the case of partial information

Peter Lakner · Stochastic Processes and their Applications · 1998 · 234 citations

Market Microstructure, Financial Economics, Asset Pricing +10

Utility maximization with partial information

Peter Lakner · Stochastic Processes and their Applications · 1995 · 172 citations · Full text

Mathematical Programming, Engineering, Stochastic Analysis +24

Optimal Control of a Mean-Reverting Inventory

Abel Cadenillas, Peter Lakner, Michael Pinedo · Operations Research · 2010 · 67 citations

Total Cost, Engineering, Inventory Theory +16

PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS

Peter Lakner, Lan Ma Nygren · Mathematical Finance · 2006 · 66 citations

Mathematical Programming, Portfolio Optimization, Engineering +14

High Frequency Asymptotics for the Limit Order Book

Peter Lakner, Josh Reed, Sasha Stoikov · Market Microstructure and Liquidity · 2016 · 37 citations

Order Theory, Engineering, Limit Order Book +15

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