{"title":"Portfolio Execution with Multi-Period Stochastic Forecasts and Size Constraints","authors":"Dmitriy Nuriyev","doi":"10.2139/ssrn.2814597","DOIUrl":null,"url":null,"abstract":"This paper investigates the problem of finding a dynamically updating trading schedule for a portfolio with stochastically evolving forecasts, absolute value based execution costs and a decaying market impact as well as size constraints. This is achieved by deriving a continuous time stochastic state evolution model as well as a Hamiltonian with a corresponding HJB equation which is then approximately solved to third order accuracy which provides a Value function and the optimal controls.","PeriodicalId":57292,"journal":{"name":"公司治理评论","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2016-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"公司治理评论","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.2139/ssrn.2814597","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
This paper investigates the problem of finding a dynamically updating trading schedule for a portfolio with stochastically evolving forecasts, absolute value based execution costs and a decaying market impact as well as size constraints. This is achieved by deriving a continuous time stochastic state evolution model as well as a Hamiltonian with a corresponding HJB equation which is then approximately solved to third order accuracy which provides a Value function and the optimal controls.