Dynamic portfolio execution and information relaxations

DOI10.1137/120896761MaRDI QIDQ2940762zbMATH OpenOpenAlexFDO

Authors Martin B. Haugh, C. Wang

Publication date 20 January 2015

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/e4fc779738cbe04b5b382fb7c21983ede3f9544f

zbMATH Keywords

dualityinformation relaxationsportfolio executionsuboptimal control

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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(4)

• Stochastic switching for partially observable dynamics and optimal asset allocation
• Information relaxations and duality in stochastic dynamic programs
• Optimal execution with uncertain order fills in Almgren-Chriss framework
• Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution

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