A note on the dynamic liquidity trading problem with a mean-variance objective

DOI10.1007/s11590-010-0195-9zbMath1211.90268OpenAlexW2010706993MaRDI QIDQ628657

Somayeh Moazeni

Publication date: 14 March 2011

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-010-0195-9

zbMATH Keywords

dynamic programmingprice impactsliquidity trading

Mathematics Subject Classification ID

Dynamic programming (90C39) Financial applications of other theories (91G80)

Related Items (3)

Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems ⋮ Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics ⋮ Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk

Cites Work

• Unnamed Item
• Unnamed Item
• Extension of dynamic programming to nonseparable dynamic optimization problems
• Iterative parametric dynamic programming and its application in reliability optimization
• Optimal Liquidity Trading*
• Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
• Dynamic Programming for a Stochastic Markovian Process with an Application to the Mean Variance Models
• The variance of discounted Markov decision processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Multiple objectives and non-separability in stochastic dynamic programming
• Stochastic optimization: Algorithms and applications. Conference, Univ. of Florida, Tallahassee, FL, USA, February 20--22, 2000

This page was built for publication: A note on the dynamic liquidity trading problem with a mean-variance objective