Single asset optimal trading strategies with stochastic dominance constraints

被引：0
|
作者：
Reshma Khemchandani
Avikant Bhardwaj
Suresh Chandra
机构：
[1] South Asian University,Department of Computer Science and Mathematics
[2] Indian Institute of Technology,Department of Mathematics
来源：
Annals of Operations Research | 2016年 / 243卷
关键词：
Optimal trading strategy; Second order stochastic dominance; Market impact; Risk aversion;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we develop optimal trading strategies for the risk averse investor by minimizing the expected cost and the risk of execution. We present quadratic programming formulation that includes stochastic dominance constraints to render the preference relationship attitude of both risk neutral and risk averse investors. We also present a cutting plane approach to facilitate computational advantage in solving it. The efficacy of the algorithm is shown with the help of numerical examples.
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页码：211 / 228
页数：17
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