Optimal security liquidation algorithms

DOI10.1007/s10589-005-2052-9zbMath1085.90038OpenAlexW2074857827WikidataQ115147132 ScholiaQ115147132MaRDI QIDQ2574056

Sergiy I. Butenko, A. N. Golodnikov, Stanislav P. Uryasev

Publication date: 16 November 2005

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-005-2052-9

zbMATH Keywords

linear programmingstochastic programmingdynamic programmingconditional value-at-riskoptimal trading strategy

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Dynamic programming (90C39)

Related Items

Reviewing climate changes modeling methods, Modeling the impact of climate change on the crop yield, VaR optimal portfolio with transaction costs, A sample-path approach to optimal position liquidation, Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization

Cites Work

• Stochastic Network Programming for Financial Planning Problems
• Introduction to Stochastic Programming
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Stochastic optimization: Algorithms and applications. Conference, Univ. of Florida, Tallahassee, FL, USA, February 20--22, 2000
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item