115
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Optimal trading under non-negativity constraints using approximate dynamic programming

, &
Pages 1406-1422 | Received 26 Sep 2014, Accepted 23 Oct 2017, Published online: 05 Jan 2018

References

  • Alexander, G., & Peterson, M. (2007). An analysis of trade-size clustering and its relation to stealth trading. Journal of Financial Economics, 84(2), 435–471.
  • Almgren, R. (2003). Optimal execution with nonlinear impact functions and trading-enhanced risk. Applied Mathematical Finance, 10(1), 1–18.
  • Almgren, R., & Chriss, N. (2001). Optimal execution of portfolio transactions. Journal of Risk, 3, 5–40.
  • Bertsimas, D., & Lo, A. W. (1998). Optimal control of execution costs. Journal of Financial Markets, 1(1), 1–50.
  • Bertsimas, D., Lo, A. W., & Hummel, P. (1999). Optimal control of execution costs for portfolios. Computing in Science & Engineering, 1(6), 40–53.
  • Butenko, S., Golodnikov, A., & Uryasev, S. (2005). Optimal security liquidation algorithms. Computational Optimization and Applications, 32(1), 9–27.
  • Chakravarty, S. (2001). Stealth-trading: Which traders trades move stock prices? Journal of Financial Economics, 61(2), 289–307.
  • Chan, L. K. C. & Lakonishok, J. (1993). Institutional trades and intraday stock price behavior. Journal of Financial Economics, 33(2), 173–199.
  • Domowitz, I., & Yegerman, H. (2005). The cost of algorithmic trading. Trading, 2005(1), 30–40.
  • Engle, R., & Ferstenberg, R. (2006). Execution risk (Report). National Bureau of Economic Research.
  • Hasbrouck, J., & Seppi, D. (2001). Common factors in prices, order flows, and liquidity. Journal of Financial Economics, 59(3), 383–411.
  • He, H., & Mamaysky, H. (2005). Dynamic trading policies with price impact. Journal of Economic Dynamics and Control, 29(5), 891–930.
  • Huberman, G., & Stanzl, W. (2005). Optimal liquidity trading. Review of Finance, 9(2), 165–200.
  • Kissell, R., Glantz, M., & Malamut, R. (2004). A practical framework for estimating transaction costs and developing optimal trading strategies to achieve best execution. Finance Research Letters, 1(1), 35–46.
  • Kissell, R., & Malamut, R. (2006). Algorithmic decision-making framework. The Journal of Trading, 1(1), 12–21.
  • Loeb, T. F. (1983). Trading cost: The critical link between investment information and results. Financial Analysts Journal, 39(3), 39–44.
  • Merton, R. (1971). Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory, 3(4), 373–413.
  • Perold, A. F. (1988). The implementation shortfall: Paper versus reality. The Journal of Portfolio Management, 14(3), 4–9.
  • Subramanian, S., & Sherali, H. D. (2010). A fractional programming approach for retail category price optimization. Journal of Global Optimization, 48(2), 263–277.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.