A sample-path approach to optimal position liquidation

Annals of Operations Research

Volumn 152, Issue 1, 2007, Pages 193-225

  Krokhmal, Pavlo ^a   Uryasev, Stanislav ^b  

^a IA United States   (United States)

^b University of Florida   (United States)

Author keywords

Market impact; Optimal trading; Sample paths; Stochastic programming

Indexed keywords

EID: 33847415005     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-006-0143-3     Document Type: Article

References (27)

1. Almgren, R. and N. Chriss. (2000). "Optimal Execution of Portfolio Transactions." Journal of Risk, 3, 5-39.
2. Almgren, R. (2003). "Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk." Applied Mathematical Finance, 10, 1-18.
3. Barraquand, J. and D. Martineau. (1995). "Numerical Valuation of High Dimensional Multivariate American Securities." Journal of Financial and Quantitative Analysis, 30, 382-405.
4. Bertsimas, D. and A. Lo. (1998). "Optimal Control of Execution Costs." Journal of Financial Markets, 1, 1-50.
5. Bertsimas, D., A. Lo, and P. Hummel. (1999). "Optimal Control of Execution Costs for Portfolios." Computing in Science and Engineering November/December, 40-53.
6. Birge, J.R. and F. Louveaux. (1997). Introduction to Stochastic Programming. New York: Springer.
7. Bogentoft, E., H.E. Romeijn, and S. Uryasev. (2001). "Asset/ Liability Management for Pension Funds Using CVaR Constraints." The Journal of Risk Finance, 3(1), 57-71.
8. Boyle, P., M. Broadie, and P. Glasserman. (1997). "Monte-Carlo Methods for Security Pricing." Journal of Economic Dynamics and Control, 21, 1267-1321.
9. Broadie, M. and P. Glasserman. (1997). "Pricing American-Style Securities Using Simulations." Journal of Economic Dynamics and Control, 21, 1323-1352.
10. Butenko, S., A. Golodnikov, and S. Uryasev. (2003). "Optimal Security Liquidation Algorithms." Research Report # 2003-1, ISE Dept., University of Florida.
11. Carriere, J.F. (1996). "Valuation of the Early-Exercise Price for Derivative Securities Using Simulations and Splines." Insurance: Mathematics and Economics, 19, 12-30.
12. Chan, L. and J. Lakonishok. (1995). "The Behavior of Stock Prices Around Institutional Trades." Journal of Finance, 50, 1147-1174.
13. Hartman, P. (1959). "On Functions Representable as a Difference of Convex Functions." Pacific Journal of Mathematics, 9, 707-713.
14. Hibiki, N. (1999). "Multi-Period Stochastic Programming Models for Dynamic Asset Allocation." Proceedings of International Conference on Stochastic Systems Theory and Its Applications, Yokogama.
15. Hibiki, N. (2001). "A Hybrid Simulation/Tree Stochastic Optimization Model for Dynamic Asset Allocation." JAFFEE Journal, 1, 89-119 [in Japanese].
16. Horst, R., P.M. Pardalos, and N.V. Thoai. (2000). Introduction to Global Optimization. New York: Kluwer Academic Publishers.
17. Horst, R. and N.V. Thoai. (1999). "DC Programming: Overview." Journal of Optimization Theory and Applications, 103(1), 1-43.
18. Kein, D.B. and A. Madhavan. (1995). "Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders." Journal of Financial Economics, 37, 371-398.
19. Konno, H. and A. Wijayanayake. (1999). "Mean-Absolute Deviation Portfolio Optimization Model under Transaction Costs." Journal of the Operation Research Society of Japan, 42, 422-435.
20. Kraus, A. and H. Stoll. (1972). "Price Impacts of Block Trading on the New York Stock Exchange." Journal of Finance, 27, 569-588.
21. Krokhmal, P., J. Palmquist, and S. Uryasev. (2002). "Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints." Journal of Risk, 4, 43-68.
22. Rickard, J.T. and N.G. Torre. (1999). "Optimal Transaction Implementation." Journal of Management Information Systems, 16, 47-62.
23. Rockafellar, R.T. and S. Uryasev. (2000). "Optimization of Conditional Value-at-Risk." Journal of Risk, 2, 21-41.
24. Rockafellar, R.T. and S. Uryasev. (2002). "Conditional Value-at-Risk for General Loss Distributions." Journal of Banking and Finance, 26, 1443-1471.
25. Titley, J.A. (1993). "Valuing American Options in a Path Simulation Model." Transactions-Society of Actuaries, 45, 499-520.
26. Tuy, H. (1994). "D. C. Optimization: Theory, Methods, and Algorithms." In R. Horst and P. Pardalos (eds.), Handbook of Global Optimization. Dordrecht: Kluwer Academic Publishers.
27. Tuy, H. (2000). "On Some Recent Advances and Applications of D.C. Optimization." In V.H. Nguyen et al. (eds.), Optimization, Lecture Notes in Economics and Mathematical Systems, Vol. 481, Springer, pp. 473-497.