SSRNTrading, Microstructure & Execution
Solvability of Differential Riccati Equations in Algorithmic Trading
A differential Riccati equation (DRE) with indefinite matrix coefficients can solve two algorithmic trading problems using a constant absolute risk-aversion (CARA) utility function.
Featured in No. 10 on 2 Aug 2023 ·
- Released
- 30 Dec 2022
- First featured
- No. 10 · 2 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4522434
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