An Algorithmic Approach to Optimal Asset Liquidation Problems

被引：3

作者：

Hinz J. ^{[1
]}

Yee J. ^{[1
]}

机构：

[1] University of Technology Sydney, Sydney

来源：

Asia-Pacific Financial Markets | 2017年 / 24卷 / 2期

关键词：

Decision optimization; Optimal control; Order liquidation;

D O I：

10.1007/s10690-017-9226-1

中图分类号：

学科分类号：

摘要：

This paper examines discrete-time optimal control problems arising in the context of optimal asset liquidation using recently published algorithms and code. We address these questions within a realistic framework, assuming that the order placement decisions must be adapted dynamically. Furthermore, we show how a duality-based technique can be used to assess the quality of our numerical solution. © 2017, Springer Japan.

引用

页码：109 / 129

页数：20

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