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Optimal execution with dynamic risk adjustment

Published:2019-08-06 Issue:10 Volume:70 Page:1662-1677
ISSN:0160-5682
Container-title:Journal of the Operational Research Society
language:en
Short-container-title:Journal of the Operational Research Society

Author:

Cheng Xue¹,Di Giacinto Marina²³^ORCID,Wang Tai-Ho⁴

Affiliation:

1. LMEQF, Department of Financial Mathematics, School of Mathematical Sciences, Peking University, Beijing, China;

2. Dipartimento di Economia e Giurisprudenza, Università degli studi di Cassino e del Lazio Meridionale, Cassino, Italy;

3. Dipartimento di Matematica per le Scienze economiche, finanziarie ed attuariali, Università Cattolica del Sacro Cuore, Milano, Italy;

4. Department of Mathematics, Baruch College, The City University of New York, New York, NY, USA

Publisher

Informa UK Limited

Subject

Marketing,Management Science and Operations Research,Strategy and Management,Management Information Systems

Link

https://www.tandfonline.com/doi/pdf/10.1080/01605682.2019.1644143

Reference27 articles.

1. Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

2. Optimal execution with nonlinear impact functions and trading-enhanced risk

3. Optimal execution of portfolio transactions

4. Théorie de la spéculation

5. Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Viscosity solution for optimal liquidation problems with randomly-terminated horizon;Finance Research Letters;2024-03

2. Viscosity Solution for Optimal Liquidation Problems With Randomly-Terminated Horizon;2023

3. Optimal Execution Subject to Reservation Strategies;SSRN Electronic Journal;2023

4. Optimal order execution under price impact: a hybrid model;Annals of Operations Research;2022-12-16

5. Optimal solution of the liquidation problem under execution and price impact risks;Quantitative Finance;2022-03-24

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