Mean–variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics

The efficient modeling of execution price path of an asset to be traded is an important aspect of the optimal trading problem. In this paper an execution price path based on the second order autoregressive process is proposed. The proposed price path is a generalization of the existing first order a...

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Vydáno v:	Mathematical methods of operations research (Heidelberg, Germany) Ročník 86; číslo 1; s. 29 - 69
Hlavní autoři:	Singh, Arti, Selvamuthu, Dharmaraja
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Berlin/Heidelberg Springer Berlin Heidelberg 01.08.2017 Springer Nature B.V
Témata:	Autoregressive processes Business and Management Calculus of Variations and Optimal Control; Optimization Computer simulation Cost engineering Dynamic programming Economic models Exact solutions Marketing Markets Mathematical analysis Mathematical models Mathematics Mathematics and Statistics Mutual funds Operations research Operations Research/Decision Theory Original Article Quadratic programming Randomness Risk Stochastic models Variance Optimal trading Stochastic dominance Autoregressive behavior Quadratic programming problem Risk averse Execution cost
ISSN:	1432-2994, 1432-5217
On-line přístup:	Získat plný text
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