Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk (Q1706677)
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scientific article; zbMATH DE number 6853825
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| English | Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk |
scientific article; zbMATH DE number 6853825 |
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Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk (English)
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28 March 2018
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This paper considers the optimal execution problem of completing a large volume trading order within a given trading horizon with a goal to minimize the price market. The mathematical model is formulated and the risk measures is proposed in the study. An approximation scheme is developed to make the solution process tractable. The performance of the proposed strategy is demonstrated by some numerical experiments.
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nested coherent risk measure
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momentum effect
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approximation solution scheme
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stochastic dynamic programming
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0.8378491997718811
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0.8372719883918762
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0.8370128273963928
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0.834703803062439
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0.8303895592689514
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