Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
DOI10.1007/s40305-017-0162-6zbMath1453.91109OpenAlexW2604424026WikidataQ57445396 ScholiaQ57445396MaRDI QIDQ1706677
Publication date: 28 March 2018
Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40305-017-0162-6
stochastic dynamic programmingmomentum effectapproximation solution schemenested coherent risk measure
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Optimal stochastic control (93E20)
Cites Work
- A note on the dynamic liquidity trading problem with a mean-variance objective
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- Coherent multiperiod risk adjusted values and Bellman's principle
- Coherent Measures of Risk
- Mean–Variance Optimal Adaptive Execution
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- Price Manipulation and Quasi-Arbitrage
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