Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy

DOI10.1007/S10479-013-1391-7MaRDI QIDQ285995zbMATH OpenOpenAlexFDO

Authors Somayeh Moazeni, Thomas F. Coleman, Yuying Li

Publication date 19 May 2016

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

Full work available at URL https://doi.org/10.1007/s10479-013-1391-7

zbMATH Keywords

dynamic programmingoptimal executioncomputational stochastic programmingpenalty functions

Mathematics Subject Classification ID

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

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Cited in

(6)

• CVaR-minimising hedging by a smoothing method
• Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
• Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
• A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
• Least squares policy iteration with instrumental variables vs. direct policy search: comparison against optimal benchmarks using energy storage
• Applying regression techniques in designing optimal trade execution strategy for an asset

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