Efficient trading frontier: a shortage function approach

DOI10.1080/02331934.2014.883508zbMath1305.90324OpenAlexW2155814131MaRDI QIDQ2926476

Suresh Chandra, Reshma Khemchandani

Publication date: 24 October 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2014.883508

zbMATH Keywords

quadratic programmingrisk aversionshortage functionefficient trading frontier

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Dynamic programming (90C39)

Related Items (2)

Applying regression techniques in designing optimal trade execution strategy for an asset ⋮ Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics

Cites Work

• Profit, directional distance functions, and Nerlovian efficiency
• Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
• Optimal execution with weighted impact functions: a quadratic programming approach
• Optimal Liquidity Trading*

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