Reshma Khemchandani, Nishil Gupta, Arpit Chaudhary, Suresh Chandra. Optimal execution with weighted impact functions: a quadratic programming approach. Optimization Letters, 7(3):575-592, 2013. [doi]
@article{KhemchandaniGCC13,
title = {Optimal execution with weighted impact functions: a quadratic programming approach},
author = {Reshma Khemchandani and Nishil Gupta and Arpit Chaudhary and Suresh Chandra},
year = {2013},
doi = {10.1007/s11590-012-0441-4},
url = {http://dx.doi.org/10.1007/s11590-012-0441-4},
researchr = {https://researchr.org/publication/KhemchandaniGCC13},
cites = {0},
citedby = {0},
journal = {Optimization Letters},
volume = {7},
number = {3},
pages = {575-592},
}