On the utility problem in a market where price impact is transient

By Lóránt Nagy, Miklós Rásonyi

Published 2025-11-18

Everscope rating

1523.3

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

4 / 5

About this paper

Methodology: Dynamic Programming with Backward Induction. Problem types: Portfolio Optimization, Optimization.

arXiv:2511.12093 · Paper rankings

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