Single asset optimal trading strategies with stochastic dominance constraints

DOI10.1007/s10479-014-1697-0zbMath1348.91256OpenAlexW2027157193MaRDI QIDQ338920

Reshma Khemchandani, Suresh Chandra, Avikant Bhardwaj

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)

Related Items

Applying regression techniques in designing optimal trade execution strategy for an asset, Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics, Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics

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