Optimal execution with weighted impact functions: a quadratic programming approach

DOI10.1007/s11590-012-0441-4zbMath1267.91077OpenAlexW1998051613MaRDI QIDQ1941201

Nishil Gupta, Reshma Khemchandani, Arpit Chaudhary, Suresh Chandra

Publication date: 12 March 2013

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-012-0441-4

zbMATH Keywords

quadratic programmingtrading strategyrisk aversionrisk neutral

Mathematics Subject Classification ID

Quadratic programming (90C20) Credit risk (91G40)

Related Items (4)

Applying regression techniques in designing optimal trade execution strategy for an asset ⋮ Efficient trading frontier: a shortage function approach ⋮ Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics ⋮ Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics

Cites Work

• Optimal Liquidity Trading*
• MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Unnamed Item
• Unnamed Item

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