Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions
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continuous reoptimizationliquidation proceedsmean-variance optimizationoptimal trade executiontime-inconsistent optimization
Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10) Financial applications of other theories (91G80) Control/observation systems governed by ordinary differential equations (93C15)
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Cites work
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Fluctuations and response in financial markets: the subtle nature of `random' price changes
- scientific article; zbMATH DE number 3798532 (Why is no real title available?)
- Investment and consumption without commitment
- Mean-variance optimal adaptive execution
- Mean-variance portfolio optimization with state-dependent risk aversion
- More statistical properties of order books and price impact
- Optimal basket liquidation for CARA investors is deterministic
- Optimal execution strategies in limit order books with general shape functions
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal mean-variance portfolio selection
- Optimal Order Scheduling for Deterministic Liquidity Patterns
- Order book approach to price impact
- Price Manipulation and Quasi-Arbitrage
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- The cost of illiquidity and its effects on hedging
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- When to cross the spread? Trading in two-sided limit order books
Cited in
(15)- Incorporating signals into optimal trading
- Optimal execution with price impact under cumulative prospect theory
- An FBSDE approach to market impact games with stochastic parameters
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- scientific article; zbMATH DE number 2065144 (Why is no real title available?)
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
- Applying regression techniques in designing optimal trade execution strategy for an asset
- Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- Optimal trade execution under price-sensitive risk preferences
- A note on the dynamic liquidity trading problem with a mean-variance objective
- Long time behavior of optimal liquidation problems with semimartingale strategies and external flows
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- A guided tour of new results on ``trade execution in illiquid markets
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