Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics (Q6069774): Difference between revisions
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Latest revision as of 18:09, 30 December 2024
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
Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics (English)
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17 November 2023
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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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