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National Repository of Grey Literature

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Optimální strategie na trhu s limitními objednávkami Šmíd, Martin We define a decision problem of an investor, trading continuously at a limit order market, maximizing a utility from his wealth at a random time horizon. We show that, in special cases (e.g. risk neutrality, quadratic or exponential utility function), the problem may be factorized and, given additional restrictions, it may even be solved. Detailed record

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