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

DOI10.12732/IJAM.V27I2.5MaRDI QIDQ5419792zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(1)

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

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