Optimal security liquidation algorithms

DOI10.1007/s10589-005-2052-9zbMath1085.90038OpenAlexW2074857827WikidataQ115147132 ScholiaQ115147132MaRDI QIDQ2574056

Sergiy I. Butenko, A. N. Golodnikov, Stanislav P. Uryasev

Publication date: 16 November 2005

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-005-2052-9

zbMATH Keywords

linear programmingstochastic programmingdynamic programmingconditional value-at-riskoptimal trading strategy

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Dynamic programming (90C39)

Related Items (5)

Reviewing climate changes modeling methods ⋮ Modeling the impact of climate change on the crop yield ⋮ VaR optimal portfolio with transaction costs ⋮ A sample-path approach to optimal position liquidation ⋮ Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization

Cites Work

• Stochastic Network Programming for Financial Planning Problems
• Introduction to Stochastic Programming
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Stochastic optimization: Algorithms and applications. Conference, Univ. of Florida, Tallahassee, FL, USA, February 20--22, 2000
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