A sample-path approach to optimal position liquidation

DOI10.1007/S10479-006-0143-3MaRDI QIDQ2480246zbMATH OpenOpenAlexFDO

Authors Pavlo A. Krokhmal, Stanislav P. Uryasev

Publication date 31 March 2008

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-006-0143-3

zbMATH Keywords

optimal tradingstochastic programmingsample pathsmarket impact

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic programming (90C15)

Recommendations

• Optimal security liquidation algorithms
• Optimal liquidation under stochastic price impact
• Dynamic liquidation under market impact
• Optimal execution of a VWAP order: a stochastic control approach
• Optimal execution strategy of liquidation

Cites work

• scientific article; zbMATH DE number 1488016 (Why is no real title available?)
• DC programming: overview.
• Introduction to Stochastic Programming
• Introduction to global optimization.
• MULTI-PERIOD STOCHASTIC PROGRAMMING MODELS USING SIMULATED PATHS FOR STRATEGIC ASSET ALLOCATION
• Mean-absolute deviation portfolio optimization model under transaction costs
• Monte Carlo methods for security pricing
• On functions representable as a difference of convex functions
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal security liquidation algorithms
• Pricing American-style securities using simulation
• Valuation of the early-exercise price for options using simulations and nonparametric regression

Cited in

(4)

• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• Strategic foreign reserves risk management: Analytical framework
• VaR optimal portfolio with transaction costs
• Arbitrage and deflators in illiquid markets

This page was built for publication: A sample-path approach to optimal position liquidation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2480246)