Mean–Variance Optimal Adaptive Execution

DOI10.1080/1350486X.2011.560707zbMath1239.91153MaRDI QIDQ2889596

Robert Almgren, Julian Lorenz

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (21)

Optimal execution in high-frequency trading with Bayesian learning ⋮ A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION ⋮ Convergence of the embedded mean-variance optimal points with discrete sampling ⋮ Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions ⋮ Optimal Execution with Dynamic Order Flow Imbalance ⋮ Optimal trade execution: a mean quadratic variation approach ⋮ Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks ⋮ Optimal execution with uncertain order fills in Almgren–Chriss framework ⋮ MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY ⋮ Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies ⋮ Modelling Asset Prices for Algorithmic and High-Frequency Trading ⋮ Optimal Trade Execution Under Stochastic Volatility and Liquidity ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk ⋮ A class of optimal portfolio liquidation problems with a linear decreasing impact ⋮ Optimal Execution and Block Trade Pricing: A General Framework ⋮ A trade execution model under a composite dynamic coherent risk measure ⋮ Market making with minimum resting times ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION ⋮ Liquidation with self-exciting price impact

Cites Work

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

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