In general, optimally managing the risk of the portfolio during the execution process affects the time synchronization of trading in different assets. Moreover, ...
Dynamic Portfolio Execution | Management Science - PubsOnLine
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Oct 27, 2017 · We analyze the optimal execution problem of a portfolio manager trading multiple assets. In addition to the liquidity and risk of each ...
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We consider a portfolio execution problem where a possibly risk-averse agent needs to trade a fixed number of shares in multiple stocks over a short time ...
We consider a portfolio execution problem where a possibly risk-averse agent needs to trade a fixed number of shares in multiple stocks over a short time ...
Jun 24, 2012 · We analyze the optimal execution problem of a portfolio manager trading multiple assets. In addition to the liquidity and risk of each ...
May 22, 2017 · We analyze the optimal execution problem of a portfolio manager trading multiple assets. In addition to the liquidity and risk of each ...
This paper formulates and solves the optimal execution problem of a portfolio manager trading mul- tiple correlated assets in the face of cross-market impact.
We consider a portfolio execution problem where a possibly risk-averse agent needs to trade a fixed number of shares in multiple stocks over a short time ...
We analyze the optimal execution problem of a portfolio manager trading multiple assets. In addition to the liquidity and risk of each individual asset, ...
We analyze the dynamic portfolio execution problem for a manager controlling multiple assets. In addition to the consideration of liquidity and risk of each ...