Optimal execution strategy under arithmetic Brownian motion with VaR and ES as risk parameters

DOI10.12732/IJAM.V27I2.5zbMATH Open1296.91245OpenAlexW2098869491MaRDI QIDQ5419792FDOQ5419792

Authors: Chiara Benazzoli, Luca Di Persio 

Publication date: 11 June 2014

Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3dc9a9d42ee0425b7a437daf87da6b597bf4eb58

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zbMATH Keywords

expected shortfalloptimal controloptimal tradingprice process, value at risk

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Cited In (1)

• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

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