An algorithmic approach to optimal asset liquidation problems
type: Item
instance of: scholarly article
title: An algorithmic approach to optimal asset liquidation problems
zbMATH Open document ID: 1418.91476
author: Juri Hinz
author: Jeremy Yee
published in: Asia-Pacific Financial Markets
publication date: 2018-12-03T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91-04
Mathematics Subject Classification ID: 49N90
zbMATH DE Number: 6987740
zbMATH Keywords: order liquidation
zbMATH Keywords: optimal control
zbMATH Keywords: decision optimization
describes a project that uses: R
describes a project that uses: rcss
MaRDI profile type: Publication
full work available at URL: s10690-017-9226-1
OpenAlex ID: W2615534387
cites work: Optimal execution strategies in limit order books with general shape functions
cites work: Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
cites work: Markov decision processes with applications to finance.
cites work: OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
cites work: Optimal liquidation under stochastic liquidity
cites work: TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
cites work: Dual pricing of multi-exercise options under volume constraints
cites work: DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS
cites work: Q4257216
cites work: OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
cites work: Additive and multiplicative duals for American option pricing
cites work: Optimal order placement in limit order markets
cites work: Q3125064
cites work: Linear-quadratic control and information relaxations
cites work: Pricing American Options: A Duality Approach
cites work: Using Convex Switching Techniques for Partially Observable Decision Processes
cites work: Optimal Stochastic Switching under Convexity Assumptions
cites work: Algorithms for Optimal Control of Stochastic Switching Systems
cites work: Stochastic switching for partially observable dynamics and optimal asset allocation
cites work: When to Cross the Spread? Trading in Two-Sided Limit Order Books
cites work: Monte Carlo Bounds for Game Options Including Convertible Bonds
cites work: OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS
cites work: MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
cites work: Kernel-based reinforcement learning
cites work: Kernel-based reinforcement learning in average-cost problems
cites work: Continuous-time stochastic control and optimization with financial applications
cites work: Approximate Dynamic Programming
cites work: Monte Carlo valuation of American options
cites work: Pathwise Stochastic Optimal Control
cites work: A pure martingale dual for multiple stopping
DOI: 10.1007/S10690-017-9226-1
description: scientific article; zbMATH DE number 6987740