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Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
16 references·1 citing·30 second hop
Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters (2010)Optimal Portfolio Execution Strategies an…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Portfolio Selection with Para…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Optimal control of execution costs (1998)Optimal control of execution …Market Microstructure Theory. (1996)Market Microstructure Theory.Market microstructure theory (1995)Market microstructure theoryThe Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…On estimating the expected return on the market (1980)On estimating the expected re…Estimation for Markowitz Efficient Portfolios (1980)Estimation for Markowitz Effi…Optimal execution under jump models for uncertain price impact (2013)Optimal execution under jump …Common stock repurchases (1981)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)PORTFOLIO SELECTION* (1952)A Simplified Model for Portfolio Analysis (1963)Common risk factors in the returns on stocks and bonds (1993)Chapter 4 Forecast Combinations (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Portfolio Selection (1952)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Robust Portfolio Selection Problems (2003)Optimal Portfolio Choice with Parameter Uncertainty (2007)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)An Engine, Not a Camera (2006)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1995Market microstructure theory1,305 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 2006Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach690 cited
  • 1993Institutional trades and intraday stock price behavior626 cited

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  • 1980Estimation for Markowitz Efficient Portfolios554 cited
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    • 2013Optimal execution under jump models for uncertain price impact22 cited