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Optimal Execution of Time-Constrained Portfolio Transactions

In: Computational Methods in Financial Engineering

Author

Listed:
  • Farid AitSahlia

    (University of Florida)

  • Yuan-Chyuan Sheu

    (University of Florida)

  • Panos M. Pardalos

    (University of Florida)

Abstract

Time-constrained dynamic optimal portfolio transactions for institutional investors are investigated. The resulting constrained dynamic programming problem is solved approximately through a succession of quadratic programs. The ensuing strategies are then tested on real data. The model extends a recent one by accounting for liquidity differences between stocks.

Suggested Citation

  • Farid AitSahlia & Yuan-Chyuan Sheu & Panos M. Pardalos, 2008. "Optimal Execution of Time-Constrained Portfolio Transactions," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 95-102, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-77958-2_5
    DOI: 10.1007/978-3-540-77958-2_5
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    Citations

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    Cited by:

    1. Roy Cerqueti, 2012. "Financing policies via stochastic control: a dynamic programming approach," Journal of Global Optimization, Springer, vol. 53(3), pages 539-561, July.
    2. Stefania Corsaro & Valentina De Simone & Zelda Marino & Francesca Perla, 2020. "$$l_1$$ l 1 -Regularization for multi-period portfolio selection," Annals of Operations Research, Springer, vol. 294(1), pages 75-86, November.
    3. Pankaj Gupta & Mukesh Mehlawat & Garima Mittal, 2012. "Asset portfolio optimization using support vector machines and real-coded genetic algorithm," Journal of Global Optimization, Springer, vol. 53(2), pages 297-315, June.

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