Optimal execution with dynamic risk adjustment
Year of publication: |
2019
|
---|---|
Authors: | Cheng, Xue ; Di Giacinto, Marina ; Wang, Tai-Ho |
Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 70.2019, 10, p. 1662-1677
|
Subject: | Optimal execution | price impact | dynamic risk measures | trading strategies | stochastic optimal control | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Risiko | Risk | Kontrolltheorie | Control theory | Dynamische Optimierung | Dynamic programming |
-
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Backhoff-Veraguas, Julio, (2020)
-
Risk-averse stochastic optimal control : An efficiently computable statistical upper bound
Guigues, Vincent, (2023)
-
Risk measurement and risk-averse control of partially observable discrete-time Markov systems
Fan, Jingnan, (2018)
- More ...
-
Optimal Execution with Uncertain Order Fills in Almgren-Chriss Framework
Cheng, Xue, (2015)
-
Optimal stopping under ambiguity in continuous time
Cheng, Xue, (2013)
-
Numerical methods in financial and actuarial applications : a stochastic maximum principle approach
Di Giacinto, Marina, (2018)
- More ...