Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
type: Item
instance of: scholarly article
title: Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
zbMATH Open document ID: 1453.91109
author: Peng Zhang
published in: Journal of the Operations Research Society of China
publication date: 2018-03-28T00:00:00Z
review text: This paper considers the optimal execution problem of completing a large volume trading order within a given trading horizon with a goal to minimize the price market. The mathematical model is formulated and the risk measures is proposed in the study. An approximation scheme is developed to make the solution process tractable. The performance of the proposed strategy is demonstrated by some numerical experiments.
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 65K10
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6853825
zbMATH Keywords: nested coherent risk measure
zbMATH Keywords: momentum effect
zbMATH Keywords: approximation solution scheme
zbMATH Keywords: stochastic dynamic programming
MaRDI profile type: Publication
full work available at URL: s40305-017-0162-6
OpenAlex ID: W2604424026
Wikidata QID: Q57445396
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DOI: 10.1007/S40305-017-0162-6
description: scientific article; zbMATH DE number 6853825