Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Arti Singh, Dharmaraja Selvamuthu
| Year of publication: |
August 2017
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|---|---|
| Authors: | Singh, Arti ; Selvamuthu, Dharmaraja |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 86.2017, 1, p. 29-69
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| Subject: | Optimal trading | Execution cost | Stochastic dominance | Autoregressive behavior | Quadratic programming problem | Risk averse | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Risikoaversion | Risk aversion | Nutzenfunktion | Utility function |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0582-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011714373