Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies

Applied Mathematical Finance

Volumn 20, Issue 5, 2013, Pages 415-449

  Tse, S T ^a   Forsyth, P A ^a   Kennedy, J S ^b   Windcliff, H ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b MORGAN STANLEY   (United States)

Author keywords

arrival price; HJB PDE; implementation shortfall; interpolation; mean quadratic variation; mean variance; Optimal trading; pre commitment; scaled grid; time consistent

Indexed keywords

EID: 84886388638     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/1350486X.2012.755817     Document Type: Article

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