Mean–Variance Optimal Adaptive Execution
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Publication:2889596
DOI10.1080/1350486X.2011.560707zbMath1239.91153MaRDI QIDQ2889596
Publication date: 8 June 2012
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Related Items (21)
Optimal execution in high-frequency trading with Bayesian learning ⋮ A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION ⋮ Convergence of the embedded mean-variance optimal points with discrete sampling ⋮ Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions ⋮ Optimal Execution with Dynamic Order Flow Imbalance ⋮ Optimal trade execution: a mean quadratic variation approach ⋮ Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks ⋮ Optimal execution with uncertain order fills in Almgren–Chriss framework ⋮ MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY ⋮ Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies ⋮ Modelling Asset Prices for Algorithmic and High-Frequency Trading ⋮ Optimal Trade Execution Under Stochastic Volatility and Liquidity ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk ⋮ A class of optimal portfolio liquidation problems with a linear decreasing impact ⋮ Optimal Execution and Block Trade Pricing: A General Framework ⋮ A trade execution model under a composite dynamic coherent risk measure ⋮ Market making with minimum resting times ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION ⋮ Liquidation with self-exciting price impact
Cites Work
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Implications of the Sharpe ratio as a performance measure in multi-period settings
- Shortfall as a risk measure: properties, optimization and applications
- Dynamic trading policies with price impact
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Convex functional analysis
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Coherent Measures of Risk
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Optimal Liquidity Trading*
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- A Minimum Variance Result in Continuous Trading Portfolio Optimization
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