Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
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Publication:285995
DOI10.1007/S10479-013-1391-7zbMATH Open1336.90067OpenAlexW1982561848MaRDI QIDQ285995FDOQ285995
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
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Cited In (6)
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
- Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
- 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
- CVaR-minimising hedging by a smoothing method
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