Single asset optimal trading strategies with stochastic dominance constraints

DOI10.1007/S10479-014-1697-0MaRDI QIDQ338920zbMATH OpenOpenAlexFDO

Authors Reshma Khemchandani, Avikant Bhardwaj, Suresh Chandra

Publication date 7 November 2016

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-014-1697-0

zbMATH Keywords

risk aversionsecond-order stochastic dominancemarket impactoptimal trading strategy

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 734930 (Why is no real title available?)
• scientific article; zbMATH DE number 3240941 (Why is no real title available?)
• An enhanced model for portfolio choice with SSD criteria: a constructive approach
• Mean-risk models using two risk measures: a multi-objective approach
• Optimal Liquidity Trading*
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Portfolio construction based on stochastic dominance and target return distributions
• Processing second-order stochastic dominance models using cutting-plane representations
• Stochastic Dominance and Applications to Finance, Risk and Economics

Cited in

(6)

• Optimal trading strategy under disordered asset return and Knightian uncertainty
• scientific article; zbMATH DE number 686947 (Why is no real title available?)
• Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
• Applying regression techniques in designing optimal trade execution strategy for an asset
• Limits of semistatic trading strategies
• Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics

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