A note on the dynamic liquidity trading problem with a mean-variance objective
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Publication:628657
DOI10.1007/S11590-010-0195-9zbMATH Open1211.90268OpenAlexW2010706993MaRDI QIDQ628657FDOQ628657
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
Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Optimal Liquidity Trading*
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- 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
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- Title not available (Why is that?)
- 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 (3)
- 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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