Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics

DOI10.1007/S00186-017-0582-4MaRDI QIDQ2408894zbMATH OpenOpenAlexFDO

Authors Arti Singh, Dharmaraja Selvamuthu

Publication date 10 October 2017

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-017-0582-4

zbMATH Keywords

autoregressive behaviorexecution costoptimal tradingquadratic programming problemrisk aversestochastic dominance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Quadratic programming (90C20) Dynamic programming (90C39) Portfolio theory (91G10)

Recommendations

• Single asset optimal trading strategies with stochastic dominance constraints
• Optimal trade execution: a mean quadratic variation approach
• Optimal execution with weighted impact functions: a quadratic programming approach
• Mean-variance optimal adaptive execution
• Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk

Cites work

• A note on the dynamic liquidity trading problem with a mean-variance objective
• Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
• Efficient trading frontier: a shortage function approach
• Mean-variance hedging under transaction costs
• Optimal execution with weighted impact functions: a quadratic programming approach
• Optimal Liquidity Trading*
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Optimization with Stochastic Dominance Constraints
• Portfolio construction based on stochastic dominance and target return distributions
• Portfolio optimization under a minimax rule
• Single asset optimal trading strategies with stochastic dominance constraints
• Stock price forecasting: Autoregressive modelling and fuzzy neural network

Cited in

(3)

• Single asset optimal trading strategies with stochastic dominance constraints
• Applying regression techniques in designing optimal trade execution strategy for an asset
• Lattice structures for the stochastic comparison of call ratio backspread derivatives with an application

This page was built for publication: Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2408894)