Mean–Variance Optimal Adaptive Execution
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Publication:2889596
DOI10.1080/1350486X.2011.560707zbMATH Open1239.91153MaRDI QIDQ2889596FDOQ2889596
Publication date: 8 June 2012
Published in: Applied Mathematical Finance (Search for Journal in Brave)
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 (23)
- 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
- 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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