LSE creators

Item Type Year Departments File available

Mathematics

Lokka, A., Xu, Junwei (2020). Optimal liquidation trajectories for the Almgren-Chriss model. International Journal of Theoretical and Applied Finance, 23(7). https://doi.org/10.1142/S0219024920500491 picture_as_pdf

Lokka, A., Xu, Junwei (2020). Optimal liquidation for a risk averse investor in a one-sided limit order book driven by a Levy process. https://doi.org/10.48550/arXiv.2002.03379

Lokka, Arne (2014). Optimal liquidation in a limit order book for a risk-averse investor. Mathematical Finance, 24(4), 696-727. https://doi.org/10.1111/mafi.12033

Lokka, Arne, Zervos, Mihail (2013). Long-term optimal investment strategies in the presence of adjustment costs. SIAM Journal on Control and Optimization, 51(2), 996-1034. https://doi.org/10.1137/110845471

Lokka, A., Zervos, Mihail (2011). A model for the long-term optimal capacity level of an investment project. International Journal of Theoretical and Applied Finance, 14(02), p. 187. https://doi.org/10.1142/S0219024911006322

Lokka, A., Zervos, Mihail (2008). Optimal dividend and issuance of equity policies in the presence of proportional costs. Insurance: Mathematics and Economics, 42(3), 954-961. https://doi.org/10.1016/j.insmatheco.2007.10.013