Search Results - subject:"Mean quadratic variation"

Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies

Tse, S. T.; Forsyth, Peter; Kennedy, J. S.; Windcliff, H. - In: Applied mathematical finance 20 (2013) 5/6, pp. 415-449

Persistent link: https://www.econbiz.de/10010235600

Optimal trade execution: A mean quadratic variation approach

Forsyth, P.A.; Kennedy, J.S.; Tse, S.T.; Windcliff, H. - In: Journal of Economic Dynamics and Control 36 (2012) 12, pp. 1971-1991

We propose the use of a mean quadratic variation criteria to determine an optimal trading strategy in the presence of …

Persistent link: https://www.econbiz.de/10010580805

COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS

WANG, J.; FORSYTH, P. A. - In: International Journal of Theoretical and Applied … 15 (2012) 02, pp. 1250014-1

We determine the optimal dynamic investment policy for a mean quadratic variation objective function by numerical …-consistent mean variance, and mean quadratic variation, assuming realistic investment constraints (e.g. no bankruptcy, finite shorting …

Persistent link: https://www.econbiz.de/10010540279

Comparison of mean variance like strategies for optimal asset allocation problems

Wang, J.; Forsyth, Peter - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10009624512

Optimal trade execution : a mean quadratic variation approach

Forsyth, Peter; Kennedy, J. S.; Tse, S. T.; Windcliff, H. - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1971-1991

Persistent link: https://www.econbiz.de/10009701897