Optimal execution with weighted impact functions: a quadratic programming approach
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Cites work
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
- Optimal Liquidity Trading*
- Optimal execution of time-constrained portfolio transactions
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Simulation and optimization methods in risk and reliability theory.
Cited in
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- Optimal Execution with Quadratic Variation Inventories
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Efficient trading frontier: a shortage function approach
- Optimizing execution cost using stochastic control
- Portfolio choice with small temporary and transient price impact
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
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- A Markov-driven portfolio execution strategy with market impact
- Optimal execution considering trading signal and execution risk simultaneously
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- Hedging nontradable risks with transaction costs and price impact
- Optimal pair-trade execution with generalized cross-impact
- Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
- Strategic Execution Trajectories
- Optimal execution of time-constrained portfolio transactions
- Applying regression techniques in designing optimal trade execution strategy for an asset
- Mean-variance optimal adaptive execution
- Single asset optimal trading strategies with stochastic dominance constraints
- A trade execution model under a composite dynamic coherent risk measure
- Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
- Dynamic programming and mean-variance hedging with partial execution risk
- Optimal portfolio execution under cointegrated vector autoregressive systems
- Optimal execution strategy under arithmetic Brownian motion with VaR and ES as risk parameters
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