New answers tagged market-microstructure
The state of the art is Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach by Jiatu Cai, Mathieu Rosenbaum, Peter Tankov. Hence the references of this paper are the ones to read. In the paper, they explain how you have to consider the prefactors (your $\lambda$ and $\Theta$) to be able to stay close to a target portfolio trajectory. ...
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