A note on the dynamic liquidity trading problem with a mean-variance objective

DOI10.1007/S11590-010-0195-9zbMATH Open1211.90268OpenAlexW2010706993MaRDI QIDQ628657FDOQ628657

Authors: Somayeh Moazeni 

Publication date: 14 March 2011

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-010-0195-9

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zbMATH Keywords

dynamic programmingprice impactsliquidity trading

Mathematics Subject Classification ID

Dynamic programming (90C39) Financial applications of other theories (91G80)

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Optimal Liquidity Trading*
• Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
• The variance of discounted Markov decision processes
• Extension of dynamic programming to nonseparable dynamic optimization problems
• Iterative parametric dynamic programming and its application in reliability optimization
• Dynamic Programming for a Stochastic Markovian Process with an Application to the Mean Variance Models
• Title not available (Why is that?)
• Stochastic optimization models in finance
• Multiple objectives and non-separability in stochastic dynamic programming
• Stochastic optimization: Algorithms and applications. Conference, Univ. of Florida, Tallahassee, FL, USA, February 20--22, 2000

Cited In (4)

• Dynamic mean-variance problem with frictions
• Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
• Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
• Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk

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