National Repository of Grey Literature 1 records found  Search took 0.01 seconds. 
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.

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