Mean-variance optimal adaptive execution

Cites Work

Coherent measures of risk
Implications of the Sharpe ratio as a performance measure in multi-period settings
Continuous-time mean-variance portfolio selection: a stochastic LQ framework
Optimal dynamic portfolio selection: multiperiod mean-variance formulation
Optimal Liquidity Trading*
A Minimum Variance Result in Continuous Trading Portfolio Optimization
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Stochastic Dominance and Expected Utility: Survey and Analysis
Optimal execution with nonlinear impact functions and trading-enhanced risk
Dynamic trading policies with price impact
CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
A Hamilton-Jacobi-Bellman approach to optimal trade execution
Shortfall as a risk measure: properties, optimization and applications
Convex functional analysis

Cited In (24)

Liquidation with self-exciting price impact
Optimal Execution with Dynamic Order Flow Imbalance
Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks
Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
Market making with minimum resting times
OPTIMAL EXECUTION HORIZON
Optimal Execution with Quadratic Variation Inventories
Optimal execution in high-frequency trading with Bayesian learning
A discrete-time optimal execution problem with market prices subject to random environments
Convergence of the embedded mean-variance optimal points with discrete sampling
Optimal trade execution: a mean quadratic variation approach
GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
A class of optimal portfolio liquidation problems with a linear decreasing impact
MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY
A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION
A trade execution model under a composite dynamic coherent risk measure
Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions
Optimal execution with uncertain order fills in Almgren–Chriss framework
Modelling Asset Prices for Algorithmic and High-Frequency Trading
Optimal Trade Execution Under Stochastic Volatility and Liquidity
Double-Execution Strategies Using Path Signatures
Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
Optimal Execution and Block Trade Pricing: A General Framework

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