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ArticleDynamic Portfolio Execution

Gerry Tsoukalas2017

Article2017

Dynamic Portfolio Execution

Gerry Tsoukalas · Jiang Wang · Kay Giesecke

42 citations·0/0 files stored·Management Science

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1971Optimum consumption and portfolio rules in a continuous-time model 2000Commonality in liquidity 2001Optimal execution of portfolio transactions 1990Transmission of Volatility between Stock Markets 2001Market Liquidity and Trading Activity 1989Transmission of Volatility Between Stock Markets 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 2001Common factors in prices, order flows, and liquidity

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2018Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach 2019Optimal portfolio execution problem with stochastic price impact

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Year2017

Typearticle

Published2017-10-27

VenueManagement Science

ISSN-L0025-1909

Languageen

Citations42

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1287/mnsc.2017.2865

openalex_workW3121333784

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