Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters

DOI10.1137/080715901zbMATH Open1198.91193OpenAlexW1966545818MaRDI QIDQ3586151FDOQ3586151

Authors Somayeh Moazeni, Thomas F. Coleman, Yuying Li 

Publication date 6 September 2010

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/27d2b95a41bdb4c80fb816e2081be91e900093cf

zbMATH Keywords

sensitivity analysisprice impactestimation errorexecution cost problem

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Sensitivity, stability, parametric optimization (90C31)

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Cited in

(9)

• Regularized robust optimization: the optimal portfolio execution case
• Optimal trading of algorithmic orders in a liquidity fragmented market place
• A note on the dynamic liquidity trading problem with a mean-variance objective
• Smooth investment
• Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
• Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
• New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
• Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution
• Regularized stochastic dual dynamic programming for convex nonlinear optimization problems

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