Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters

DOI10.1137/080715901zbMath1198.91193OpenAlexW1966545818MaRDI QIDQ3586151

Thomas F. Coleman, Somayeh Moazeni, Yuying Li

Publication date: 6 September 2010

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/27d2b95a41bdb4c80fb816e2081be91e900093cf

zbMATH Keywords

sensitivity analysisprice impactestimation errorexecution cost problem

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Sensitivity, stability, parametric optimization (90C31) Portfolio theory (91G10)

Related Items (7)

Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy ⋮ Regularized robust optimization: the optimal portfolio execution case ⋮ Smooth investment ⋮ Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics ⋮ A note on the dynamic liquidity trading problem with a mean-variance objective ⋮ Regularized stochastic dual dynamic programming for convex nonlinear optimization problems ⋮ Optimal trading of algorithmic orders in a liquidity fragmented market place

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