Hedging with temporary price impact

Keyphrases

• Hedging 100%
• Preprints 100%
• Temporary Price Impact 100%
• Hedging Strategy 60%
• Friction 40%
• Dynamic Allocation 40%
• Target Position 40%
• Hedging Problem 40%
• Singh 40%
• Dynamic Programming Algorithm 20%
• Optimal Strategy 20%
• Markovian 20%
• Optimal Policy 20%
• Optimal Investment 20%
• Contingent Claims 20%
• Portfolio Choice 20%
• Weber 20%
• Convex Analysis 20%
• Optimal Cost 20%
• Common Dynamics 20%
• Price Impact 20%
• Nonlinear Pricing 20%
• Market Impact 20%
• High Resilience 20%
• Illiquid Markets 20%
• Bachelier Model 20%
• Option Hedging 20%
• Order Book 20%
• Optimal Tracking Control 20%

Mathematics

• Hedging Strategy 100%
• Optimal Strategy 33%
• Weighted Average 33%
• Optimal Policy 33%
• Contingent Claim 33%
• Convex Analysis 33%
• Shaped Order 33%

Economics, Econometrics and Finance

• Hedging 100%
• Portfolio Choice 37%
• Dynamic Programming 12%
• Foreign Economic Policy 12%