Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
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Publication:3586151
DOI10.1137/080715901zbMATH Open1198.91193OpenAlexW1966545818MaRDI QIDQ3586151FDOQ3586151
Thomas F. Coleman, Somayeh Moazeni, 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
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Applications of mathematical programming (90C90) Portfolio theory (91G10) Sensitivity, stability, parametric optimization (90C31)
Cited In (8)
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
- Regularized stochastic dual dynamic programming for convex nonlinear optimization problems
- A note on the dynamic liquidity trading problem with a mean-variance objective
- Regularized robust optimization: the optimal portfolio execution case
- Smooth investment
- Optimal trading of algorithmic orders in a liquidity fragmented market place
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