We wish to thank Ulrich Horst, Werner Kratz, Nicholas Westray, and the anonymous referees for useful suggestions and comments. We are also grateful to seminar participants at the University of Bonn, Humboldt University Berlin, and the Bachelier seminar Paris. This research was supported by Deutsche Bank through the Quantitative Products Laboratory.
PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME
Article first published online: 18 JUN 2013
© 2013 Wiley Periodicals, Inc.
How to Cite
Kratz, P. and Schöneborn, T. (2013), PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME. Mathematical Finance. doi: 10.1111/mafi.12037
- Article first published online: 18 JUN 2013
- Manuscript Accepted: DEC 2012
- Manuscript Received: JAN 2012
- Deutsche Bank through the Quantitative Products Laboratory
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