Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
DOI10.1080/1350486X.2012.755817zbMATH Open1396.91705OpenAlexW2005795282MaRDI QIDQ4584996FDOQ4584996
Authors: S. T. Tse, J. S. Kennedy, H. Windcliff, P. A. Forsyth 
Publication date: 5 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2012.755817
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interpolationmean varianceoptimal tradingmean quadratic variationpre-commitmentHJB PDEarrival priceimplementation shortfallscaled gridtime consistent
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Optimal stochastic control (93E20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
Cites Work
- Dynamic mean-variance problem with constrained risk control for the insurers
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Mean-variance optimal adaptive execution
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Price Manipulation and Quasi-Arbitrage
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- More statistical properties of order books and price impact
- Optimal execution strategies in limit order books with general shape functions
- Optimal trade execution: a mean quadratic variation approach
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal trading with stochastic liquidity and volatility
- Dynamic trading policies with price impact
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- A model of optimal portfolio selection under liquidity risk and price impact
- Semi-Lagrangian schemes for the Vlasov equation on an unstructured mesh of phase space
- Dynamic mean-variance portfolio selection with borrowing constraint
- A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization
Cited In (15)
- A control problem with fuel constraint and Dawson-Watanabe superprocesses
- Optimal portfolio liquidation in target zone models and catalytic superprocesses
- Optimal trade execution: a mean quadratic variation approach
- Quadratic-Variation-Based Dynamic Strategies
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Market-making strategy with asymmetric information and regime-switching
- Generalized optimal liquidation problems across multiple trading venues
- An FBSDE approach to market impact games with stochastic parameters
- Incorporating signals into optimal trading
- Optimal execution with multiplicative price impact
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- Finite horizon optimal execution with bounded rate of transaction
- Optimal solution of the liquidation problem under execution and price impact risks
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
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