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Journal of the Operational Research Society Volume 69, 2018 - Issue 9
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Original Articles

Optimal trading under non-negativity constraints using approximate dynamic programming

Shahin AbbaszadehManagement School, University of Southampton, Southampton, UK.
,
Tri-Dung NguyenManagement School, University of Southampton, Southampton, UK.;Southampton Business School, University of Southampton, Southampton, UK.Correspondence[email protected]
&
Yue WuManagement School, University of Southampton, Southampton, UK.
Pages 1406-1422 | Received 26 Sep 2014, Accepted 23 Oct 2017, Published online: 05 Jan 2018

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Read on this site (2)

Elvan Gökalp, M. Selim Cakir & Ioannis Kougkoulos. (2022) Capacity management of migrant accommodation centers using approximate dynamic programming. Journal of the Operational Research Society 73:6, pages 1198-1210.
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Dimitris Andriosopoulos, Michalis Doumpos, Panos M. Pardalos & Constantin Zopounidis. (2019) Computational approaches and data analytics in financial services: A literature review. Journal of the Operational Research Society 70:10, pages 1581-1599.
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Articles from other publishers (3)

Qing-Qing Yang, Wai-Ki Ching, Jia-wen Gu, Tak Kwong Wong & Dong-Mei Zhu. (2024) Viscosity solution for optimal liquidation problems with randomly-terminated horizon. Finance Research Letters 61, pages 105043.
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Ulkem Basdas & M. Fevzi Esen. 2021. Handbook of Research on Engineering, Business, and Healthcare Applications of Data Science and Analytics. Handbook of Research on Engineering, Business, and Healthcare Applications of Data Science and Analytics 181 202 .
weiping wu, Jianjun Gao & Dian Yu. (2021) Constrained Optimal Execution in Limit Order Book Market with Power-shaped Market Depth. SSRN Electronic Journal.
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