122 search results - page 1 / 25 » Optimal Dynamic Trading Strategies with Risk Limits |
IOR
2008
13 years 4 months ago
2008
EVOW
2010
Springer
13 years 9 months ago
2010
Springer
Abstract. Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to potential use of...
WECWIS
2005
IEEE
13 years 10 months ago
2005
IEEE
In this paper, we address the importance of efficient execution in electronic markets. Due to intense competition for profit opportunities, trading costs can represent a significa...
CDC
2010
IEEE
12 years 12 months ago
2010
IEEE
We consider the problem of dynamic buying and selling of shares from a collection of N stocks with random price fluctuations. To limit investment risk, we place an upper bound on t...
ANOR
2007
13 years 5 months ago
2007
We consider the problem of optimal position liquidation with the aim of maximizing the expected cash flow stream from the transaction in the presence of temporary or permanent ma...