An algorithmic approach to optimal asset liquidation problems
From MaRDI portal
Publication:1627810
DOI10.1007/s10690-017-9226-1zbMath1418.91476OpenAlexW2615534387MaRDI QIDQ1627810
Publication date: 3 December 2018
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-017-9226-1
Applications of optimal control and differential games (49N90) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
Related Items (2)
Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations ⋮ Algorithmic trading efficiency and its impact on market-quality
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Dual pricing of multi-exercise options under volume constraints
- Markov decision processes with applications to finance.
- Continuous-time stochastic control and optimization with financial applications
- Kernel-based reinforcement learning
- Optimal liquidation under stochastic liquidity
- A pure martingale dual for multiple stopping
- Linear-quadratic control and information relaxations
- Additive and multiplicative duals for American option pricing
- When to Cross the Spread? Trading in Two-Sided Limit Order Books
- Stochastic switching for partially observable dynamics and optimal asset allocation
- Using Convex Switching Techniques for Partially Observable Decision Processes
- Monte Carlo Bounds for Game Options Including Convertible Bonds
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
- Algorithms for Optimal Control of Stochastic Switching Systems
- Pathwise Stochastic Optimal Control
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
- Pricing American Options: A Duality Approach
- Optimal order placement in limit order markets
- OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- Monte Carlo valuation of American options
- Optimal execution strategies in limit order books with general shape functions
- DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS
- Kernel-based reinforcement learning in average-cost problems
- Approximate Dynamic Programming
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Optimal Stochastic Switching under Convexity Assumptions
This page was built for publication: An algorithmic approach to optimal asset liquidation problems
