Single asset optimal trading strategies with stochastic dominance constraints

DOI10.1007/S10479-014-1697-0zbMATH Open1348.91256OpenAlexW2027157193MaRDI QIDQ338920FDOQ338920

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

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zbMATH Keywords

risk aversionsecond-order stochastic dominancemarket impactoptimal trading strategy

Mathematics Subject Classification ID

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

Cites Work

• Portfolio construction based on stochastic dominance and target return distributions
• Optimal Liquidity Trading*
• An enhanced model for portfolio choice with SSD criteria: a constructive approach
• Processing second-order stochastic dominance models using cutting-plane representations
• Mean-risk models using two risk measures: a multi-objective approach
• Title not available (Why is that?)
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Title not available (Why is that?)
• Stochastic Dominance and Applications to Finance, Risk and Economics

Cited In (6)

• Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
• Limits of semistatic trading strategies
• Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
• Optimal trading strategy under disordered asset return and Knightian uncertainty
• Applying regression techniques in designing optimal trade execution strategy for an asset
• Title not available (Why is that?)

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