An Algorithmic Approach to Optimal Asset Liquidation Problems

Autor:	Juri Hinz, Jeremy Yee
Rok vydání:	2017
Předmět:	010104 statistics & probability Mathematical optimization 050208 finance 0502 economics and business 05 social sciences Economics Decision optimization Duality (optimization) 0101 mathematics Optimal control 01 natural sciences Finance
Zdroj:	Asia-Pacific Financial Markets. 24:109-129
ISSN:	1573-6946 1387-2834
DOI:	10.1007/s10690-017-9226-1
Popis:	© 2017, Springer Japan. 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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::34eaea52c9377797ba08ff53ebfebb4f https://doi.org/10.1007/s10690-017-9226-1 Zobrazit plný text záznamu Full text from SpringerLink