Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics (Q2408894)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics |
scientific article |
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Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics (English)
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10 October 2017
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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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quadratic programming problem
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risk averse
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