Optimal Portfolio Liquidation and Dynamic Mean-Variance Criterion
نویسندگان
چکیده
منابع مشابه
Optimal Dynamic Portfolio with Mean-CVaR Criterion
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz ...
متن کاملContinuous Time Mean-Variance Optimal Portfolio Allocation
5 We present efficient partial differential equation (PDE) methods for continuous time mean6 variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. 7 The standard formulation of mean-variance optimal portfolio allocation problems, where the 8 total wealth is the underlying stochastic process, gives rise to a one-dimensional (1-D) non-linear 9 Hamilton-J...
متن کاملMean - Variance Portfolio Optimisation
QP is the optimization of a quadratic function subject to linear equality and inequality constraints. It arises in multiple objective decision making where the departure of the actual decisions from their corresponding ideal, or bliss, value can be evaluated using a weighted quadratic norm as a measure of deviation. The formulation of mean-variance optimization of uncertain systems also leads t...
متن کاملOptimal Liquidation Strategies Regularize Portfolio Selection
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under Expected Shortfall (ES) in the case of linear market impact. We show that, once market impact is taken into account, a regularized version of the usual optimization problem naturally emerges. We cha...
متن کاملOptimal Portfolio Liquidation with Limit Orders
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or only on the liquidity-consuming orders like Obizhaeva and Wang in [31], we link the optimal trade-schedule to the price of the limit orders that have to be sent to the limit order book to optimally liquidate a portf...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2687999