Optimal execution of time-constrained portfolio transactions
From MaRDI portal
Recommendations
- Optimal portfolio execution under time-varying liquidity constraints
- Optimal execution with weighted impact functions: a quadratic programming approach
- scientific article; zbMATH DE number 5361721
- On Regularized Optimal Execution Problems and Their Singular Limits
- Optimal execution in a market with small investors
Cited in
(10)- Optimal execution with weighted impact functions: a quadratic programming approach
- Adaptive l₁-regularization for short-selling control in portfolio selection
- Financing policies via stochastic control: a dynamic programming approach
- Asset portfolio optimization using support vector machines and real-coded genetic algorithm
- Optimal portfolio execution under cointegrated vector autoregressive systems
- OPTIMAL EXECUTION HORIZON
- Optimal portfolio execution under time-varying liquidity constraints
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
- Optimal portfolio on tracking the expected wealth process with liquidity constraints
- l₁-regularization for multi-period portfolio selection
This page was built for publication: Optimal execution of time-constrained portfolio transactions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3524411)