A trade execution model under a composite dynamic coherent risk measure
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Publication:1785321
DOI10.1016/j.orl.2014.11.005zbMath1408.91102OpenAlexW1970007896MaRDI QIDQ1785321
Xi Chen, Qihang Lin, Javier F. Peña
Publication date: 28 September 2018
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2014.11.005
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Cites Work
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- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Coherent Measures of Risk
- Mean–Variance Optimal Adaptive Execution
- OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal Basket Liquidation for CARA Investors is Deterministic
- Optimal Liquidity Trading*
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal execution strategies in limit order books with general shape functions
- Dynamic Risk Measures
- Conditional Risk Mappings
- Price Manipulation and Quasi-Arbitrage
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