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Wald et al., 2005 - Google Patents

Optimal limit order choice

Wald et al., 2005

Document ID
2971721635099173411
Author
Wald J
Horrigan H
Publication year
Publication venue
The Journal of Business

External Links

Snippet

We describe a method for optimally choosing whether to place a market or limit order (and at what price) using a risk‐averse investor's expected utility maximization. We allow for a continuum of investor information, risk aversion, and security characteristics. We show that …
Continue reading at www.jstor.org (other versions)

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