Mean-variance optimal adaptive execution
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Publication:2889596
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Cites work
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- A Minimum Variance Result in Continuous Trading Portfolio Optimization
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Coherent measures of risk
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Convex functional analysis
- Dynamic trading policies with price impact
- Implications of the Sharpe ratio as a performance measure in multi-period settings
- Optimal Liquidity Trading*
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Shortfall as a risk measure: properties, optimization and applications
- Stochastic Dominance and Expected Utility: Survey and Analysis
Cited in
(31)- Double-Execution Strategies Using Path Signatures
- A pre-trade algorithmic trading model under given volume measures and generic price dynamics
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Market making with minimum resting times
- Optimal Execution with Quadratic Variation Inventories
- A class of optimal portfolio liquidation problems with a linear decreasing impact
- OPTIMAL EXECUTION HORIZON
- Negative selection -- a new performance measure for automated order execution
- Optimal execution in high-frequency trading with Bayesian learning
- Optimal trade execution: a mean quadratic variation approach
- Convergence of the embedded mean-variance optimal points with discrete sampling
- Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions
- Liquidation with self-exciting price impact
- Improved dynamic trading strategy IS algorithm
- Adaptive execution: exploration and learning of price impact
- Optimal execution with uncertain order fills in Almgren-Chriss framework
- Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
- Real-time market microstructure analysis: online transaction cost analysis
- A state-constrained differential game arising in optimal portfolio liquidation
- Optimal trade execution under stochastic volatility and liquidity
- A discrete-time optimal execution problem with market prices subject to random environments
- A trade execution model under a composite dynamic coherent risk measure
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- Optimal execution and block trade pricing: a general framework
- Optimal execution with dynamic order flow imbalance
- Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
- Optimal liquidation in a level-I limit order book for large-tick stocks
- Market making and portfolio liquidation under uncertainty
- Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
- General intensity shapes in optimal liquidation
- Optimal trading strategies -- a time series approach
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