Optimal security liquidation algorithms

Computational Optimization and Applications

Volumn 32, Issue 1-2, 2005, Pages 9-27

  Butenko, Sergiy ^a   Golodnikov, Alexander ^b   Uryasev, Stanislav ^c  

^a Department of Electrical and Computer Engineering   (United States)

^b V M GLUSHKOV INSTITUTE OF CYBERNETICS   (Ukraine)

^c UNIVERSITY OF FLORIDA   (United States)

Author keywords

Conditional Value at Risk; Dynamic programming; Linear programming; Optimal trading strategy; Stochastic programming

Indexed keywords

DYNAMIC PROGRAMMING; FINANCE; LINEAR PROGRAMMING; STOCHASTIC PROGRAMMING; STRATEGIC PLANNING;

CONDITIONAL VALUE-AT-RISK (CVAR); LIQUIDATION ALGORITHMS; OPTIMAL TRADING STRATEGY; RISK CONSTRAINTS;

ALGORITHMS;

EID: 23944493170     PISSN: 09266003     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10589-005-2052-9     Document Type: Article

References (12)

1. R. Almgren, "Optimal execution with nonlinear impact functions and trading-enhanced risk," Applied Mathematical Finance, vol. 10, pp. 1-18, 2003.
2. R. Almgren and N. Chriss, "Optimal execution of portfolio transactions," Journal of Risk, vol. 3, pp. 5-39, 2000.
3. T.W. Anderson, An Introduction to Multivariate Statistical Analysis, John Willey & Sons, Inc., 1958.
4. T.W. Anderson, The Statistical Analysis of Time Series, John Willey & Sons, Inc., 1971.
5. D. Bertsimas and A.W. Lo, "Optimal control of execution costs," J. Financial Markets, vol. 1, pp. 1-50, 1998.
6. D. Bertsimas, A.W. Lo, and P. Hummel, "Optimal control of execution costs for portfolios," Computing in Science & Engineering, vol. 1, pp. 40-53, 2000.
7. J. Birge and F. Louveaux, Introduction to Stochastic Programming, Springer Verlag, 1997.
8. R. El-Yaniv, A. Fiat, R. Karp, and G. Turpin, "Optimal search and one-way trading online algorithms," Algorithmica, vol. 30, pp. 101-139, 2001.
9. H. Konno and A. Wijayanayake, "Portfolio optimization under d. c. transaction costs and minimal transaction unit constraints," J. Global Optimization, vol. 22, pp. 137-154, 2002.
10. J. Rickard and N. Torre, "Optimal transaction implementation," J. Management Information Systems, vol. 16, pp. 47-62, 1999.
11. R.T. Rockafellar and S. Uryasev, "Optimization of conditional value-at-risk," Journal of Risk, vol. 2, pp. 21-41, 2000.
12. R.T. Rockafellar and S. Uryasev, "Conditional value-at-risk for general loss distributions," Journal of Banking and Finance, vol. 26, pp. 1443-1471, 2002.