Statements (21)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
|
| gptkbp:assumes |
linear permanent impact
linear temporary impact |
| gptkbp:citation |
Almgren, R. and Chriss, N. (2000). Optimal execution of portfolio transactions. Journal of Risk, 3(2):5-39.
|
| gptkbp:describes |
optimal trading strategies
|
| gptkbp:developedBy |
gptkb:Robert_Almgren
gptkb:Neil_Chriss |
| gptkbp:field |
quantitative finance
optimal execution |
| gptkbp:focusesOn |
market impact
execution risk minimizing trading costs |
| https://www.w3.org/2000/01/rdf-schema#label |
Almgren-Chriss model
|
| gptkbp:introducedIn |
2000
|
| gptkbp:publishedIn |
Journal of Risk
|
| gptkbp:relatedTo |
market microstructure
mean-variance optimization |
| gptkbp:usedFor |
algorithmic trading
portfolio liquidation |
| gptkbp:bfsParent |
gptkb:Robert_Almgren
|
| gptkbp:bfsLayer |
7
|