Mean–Variance Optimal Adaptive Execution (Q2889596): Difference between revisions

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+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+Coherent Measures of Risk
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+Shortfall as a risk measure: properties, optimization and applications
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+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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+Implications of the Sharpe ratio as a performance measure in multi-period settings
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+A Hamilton-Jacobi-Bellman approach to optimal trade execution
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+Dynamic trading policies with price impact
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+Optimal Liquidity Trading*
@@ Property / cites work: Optimal Liquidity Trading* / rank @@
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+Convex functional analysis
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+Stochastic Dominance and Expected Utility: Survey and Analysis
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+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+A Minimum Variance Result in Continuous Trading Portfolio Optimization
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+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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