A sample-path approach to optimal position liquidation

DOI10.1007/s10479-006-0143-3zbMath1132.91447OpenAlexW2032454571MaRDI QIDQ2480246

Pavlo A. Krokhmal, Stanislav P. Uryasev

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-006-0143-3

zbMATH Keywords

sample pathsstochastic programmingoptimal tradingmarket impact

Mathematics Subject Classification ID

Stochastic programming (90C15) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (4)

VaR optimal portfolio with transaction costs ⋮ Arbitrage and deflators in illiquid markets ⋮ Strategic foreign reserves risk management: Analytical framework ⋮ Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization

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• MULTI-PERIOD STOCHASTIC PROGRAMMING MODELS USING SIMULATED PATHS FOR STRATEGIC ASSET ALLOCATION
• Mean-absolute deviation portfolio optimization model under transaction costs
• Introduction to global optimization.

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