Optimal trade execution under price-sensitive risk preferences

DOI10.1080/14697688.2012.762613zbMath1281.91075OpenAlexW3122123494MaRDI QIDQ5397469

Thomas Kruse, Stefan Ankirchner

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.762613

zbMATH Keywords

dynamic programmingdiscrete-time modelprice impactenergy marketsilliquid marketquantitative trading strategiescontrol of revenue/cost distribution

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Dynamic programming (90C39)

Related Items (2)

Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ Performance-weighted ensembles of random forests for predicting price impact

Cites Work

• Optimal trade execution: a mean quadratic variation approach
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Optimal Basket Liquidation for CARA Investors is Deterministic
• Testing for Prudence and Skewness Seeking
• Optimal liquidation in dark pools

This page was built for publication: Optimal trade execution under price-sensitive risk preferences