Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk

DOI10.1007/s40305-017-0162-6zbMath1453.91109OpenAlexW2604424026WikidataQ57445396 ScholiaQ57445396MaRDI QIDQ1706677

Peng Zhang

Publication date: 28 March 2018

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-017-0162-6

zbMATH Keywords

stochastic dynamic programmingmomentum effectapproximation solution schemenested coherent risk measure

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Optimal stochastic control (93E20)

Cites Work

• A note on the dynamic liquidity trading problem with a mean-variance objective
• Time consistency of dynamic risk measures
• Coherent multiperiod risk adjusted values and Bellman's principle
• Coherent Measures of Risk
• Mean–Variance Optimal Adaptive Execution
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
• Price Manipulation and Quasi-Arbitrage

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