Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
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Publication:4584996
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Cites work
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
- A model of optimal portfolio selection under liquidity risk and price impact
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Dynamic mean-variance portfolio selection with borrowing constraint
- Dynamic mean-variance problem with constrained risk control for the insurers
- Dynamic trading policies with price impact
- Mean-variance optimal adaptive execution
- More statistical properties of order books and price impact
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal execution strategies in limit order books with general shape functions
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal trade execution: a mean quadratic variation approach
- Optimal trading with stochastic liquidity and volatility
- Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization
- Price Manipulation and Quasi-Arbitrage
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Semi-Lagrangian schemes for the Vlasov equation on an unstructured mesh of phase space
Cited in
(15)- An FBSDE approach to market impact games with stochastic parameters
- Market-making strategy with asymmetric information and regime-switching
- Quadratic-Variation-Based Dynamic Strategies
- Optimal portfolio liquidation in target zone models and catalytic superprocesses
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Optimal solution of the liquidation problem under execution and price impact risks
- Optimal trade execution: a mean quadratic variation approach
- A control problem with fuel constraint and Dawson-Watanabe superprocesses
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Finite horizon optimal execution with bounded rate of transaction
- Incorporating signals into optimal trading
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Optimal execution with multiplicative price impact
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- Generalized optimal liquidation problems across multiple trading venues
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