Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics (Q6069774): Difference between revisions

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scientific article; zbMATH DE number 7767504

Language	Label	Description	Also known as
English	Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics	scientific article; zbMATH DE number 7767504

Statements

instance of

scholarly article

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title

Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics (English)

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author

Arti Singh

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Selvamuthu Dharmaraja

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published in

International Transactions in Operational Research

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publication date

17 November 2023

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zbMATH Keywords

optimal trading

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execution cost

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stochastic dominance

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autoregressive behavior

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convex programming

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risk aversion

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1111/itor.12435

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cites work

Q3524411

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Optimal Trading with Stochastic Liquidity and Volatility

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Q3241581

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Low order-value approach for solving var-constrained optimization problems

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Optimal Trade Execution Under Stochastic Volatility and Liquidity

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Optimization with Stochastic Dominance Constraints

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Q5528344

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OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY

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OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

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Optimal Liquidity Trading*

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Single asset optimal trading strategies with stochastic dominance constraints

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Optimal execution with weighted impact functions: a quadratic programming approach

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Holomorphic Functions With Positive Real Part on Polycylinders

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Q2744232

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Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters

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Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy

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Portfolio construction based on stochastic dominance and target return distributions

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Financial analysis based sectoral portfolio optimization under second order stochastic dominance

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Identifiers

DOI

10.1111/itor.12435

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6069774

@@ Property / cites work @@
+Q3524411
@@ Property / cites work: Q3524411 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Trading with Stochastic Liquidity and Volatility
+Normal rank
@@ Property / cites work @@
+Q3241581
@@ Property / cites work: Q3241581 / rank @@
+Normal rank
@@ Property / cites work @@
+Low order-value approach for solving var-constrained optimization problems
+Normal rank
@@ Property / cites work @@
+Optimal Trade Execution Under Stochastic Volatility and Liquidity
+Normal rank
@@ Property / cites work @@
+Optimization with Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Q5528344
@@ Property / cites work: Q5528344 / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY
+Normal rank
@@ Property / cites work @@
+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
+Normal rank
@@ Property / cites work @@
+Optimal Liquidity Trading*
@@ Property / cites work: Optimal Liquidity Trading* / rank @@
+Normal rank
@@ Property / cites work @@
+Single asset optimal trading strategies with stochastic dominance constraints
+Normal rank
@@ Property / cites work @@
+Optimal execution with weighted impact functions: a quadratic programming approach
+Normal rank
@@ Property / cites work @@
+Holomorphic Functions With Positive Real Part on Polycylinders
+Normal rank
@@ Property / cites work @@
+Q2744232
@@ Property / cites work: Q2744232 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
+Normal rank
@@ Property / cites work @@
+Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
+Normal rank
@@ Property / cites work @@
+Portfolio construction based on stochastic dominance and target return distributions
+Normal rank
@@ Property / cites work @@
+Financial analysis based sectoral portfolio optimization under second order stochastic dominance
+Normal rank