Optimal portfolio liquidation with additional information

Optimal execution of portfolio transactions

Robert Almgren, Neil Chriss · The Journal of Risk · 2001 · 1.6K citations

Business, Finance, Financial Management +17

Optimal control of execution costs

Dimitris Bertsimas, Andrew W. Lo · Journal of Financial Markets · 1998 · 1.1K citations

Natural Sciences, Operations Management, Optimization +8

Anticipative portfolio optimization

Igor Pikovsky, Ioannis Karatzas · Advances in Applied Probability · 1996 · 217 citations

Business, Economics, Finance +16

Additional logarithmic utility of an insider

Jürgen Amendinger, Peter Imkeller, Martin Schweizer · Stochastic Processes and their Applications · 1998 · 175 citations

Business, Business Economics, Contract Theory +2

Optimal Basket Liquidation for CARA Investors is Deterministic

Alexander Schied, Torsten Schöneborn, Michael R. Tehranchi · Applied Mathematical Finance · 2010 · 149 citations

Business, Economics, Finance +13