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

DOI10.1007/s00186-017-0582-4zbMath1411.91530OpenAlexW2592235189MaRDI QIDQ2408894

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

stochastic dominancequadratic programming problemoptimal tradingrisk averseexecution costautoregressive behavior

Mathematics Subject Classification ID

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

Related Items (1)

Applying regression techniques in designing optimal trade execution strategy for an asset

Cites Work

• Unnamed Item
• Unnamed Item
• Single asset optimal trading strategies with stochastic dominance constraints
• A note on the dynamic liquidity trading problem with a mean-variance objective
• Optimal execution with weighted impact functions: a quadratic programming approach
• Mean-variance hedging under transaction costs
• Portfolio construction based on stochastic dominance and target return distributions
• Efficient trading frontier: a shortage function approach
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Portfolio Optimization Under a Minimax Rule
• Optimal Liquidity Trading*
• Optimization with Stochastic Dominance Constraints

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