Optimal Liquidity Trading*
From MaRDI portal
Publication:3374848
DOI10.1007/s10679-005-7591-5zbMath1125.91387OpenAlexW1509716043MaRDI QIDQ3374848
Publication date: 23 February 2006
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10679-005-7591-5
Related Items (29)
IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ Optimal execution in high-frequency trading with Bayesian learning ⋮ Mean–Variance Optimal Adaptive Execution ⋮ THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING ⋮ Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy ⋮ Optimal order placement in limit order markets ⋮ Single asset optimal trading strategies with stochastic dominance constraints ⋮ Applying regression techniques in designing optimal trade execution strategy for an asset ⋮ Efficient trading frontier: a shortage function approach ⋮ Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution ⋮ Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics ⋮ Portfolio choice under transitory price impact ⋮ New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact ⋮ Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics ⋮ Optimal execution with weighted impact functions: a quadratic programming approach ⋮ A note on the dynamic liquidity trading problem with a mean-variance objective ⋮ Stock repurchase with an adaptive reservation price: a study of the greedy policy ⋮ Liquidating illiquid collateral ⋮ An optimal execution problem with market impact ⋮ Optimal trade execution under jump diffusion process: a mean-VaR approach ⋮ OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT ⋮ The impact of illiquidity on the asset management of insurance companies ⋮ A trade execution model under a composite dynamic coherent risk measure ⋮ Optimal Execution in a Market with Small Investors ⋮ Optimal execution with nonlinear impact functions and trading-enhanced risk ⋮ RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION ⋮ Reduced form modeling of limit order markets ⋮ Liquidation with self-exciting price impact
This page was built for publication: Optimal Liquidity Trading*
