Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies

DOI10.1080/1350486X.2012.755817zbMath1396.91705OpenAlexW2005795282MaRDI QIDQ4584996

J. S. Kennedy, S. T. Tse, H. Windcliff, Peter A. I. Forsyth

Publication date: 5 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2012.755817

zbMATH Keywords

interpolationoptimal tradingmean variancemean quadratic variationpre-commitmentHJB PDEarrival priceimplementation shortfallscaled gridtime consistent

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Portfolio theory (91G10)

Related Items (12)

Optimal portfolio liquidation in target zone models and catalytic superprocesses ⋮ Optimal trade execution: a mean quadratic variation approach ⋮ Market-making strategy with asymmetric information and regime-switching ⋮ Generalized optimal liquidation problems across multiple trading venues ⋮ Optimal solution of the liquidation problem under execution and price impact risks ⋮ A control problem with fuel constraint and Dawson-Watanabe superprocesses ⋮ An FBSDE approach to market impact games with stochastic parameters ⋮ Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization ⋮ Incorporating signals into optimal trading ⋮ Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? ⋮ Finite horizon optimal execution with bounded rate of transaction ⋮ Optimal Execution with Multiplicative Price Impact

Cites Work

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• Optimal Trading with Stochastic Liquidity and Volatility
• Optimal execution strategies in limit order books with general shape functions
• Price Manipulation and Quasi-Arbitrage

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