LSE creators
Number of items: 6.
Article
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, 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