Single asset optimal trading strategies with stochastic dominance constraints

Reshma Khemchandani (), Avikant Bhardwaj () and Suresh Chandra ()
Additional contact information
Reshma Khemchandani: South Asian University
Avikant Bhardwaj: Indian Institute of Technology
Suresh Chandra: Indian Institute of Technology

Annals of Operations Research, 2016, vol. 243, issue 1, No 13, 228 pages

Abstract: Abstract In this paper, we develop optimal trading strategies for the risk averse investor by minimizing the expected cost and the risk of execution. We present quadratic programming formulation that includes stochastic dominance constraints to render the preference relationship attitude of both risk neutral and risk averse investors. We also present a cutting plane approach to facilitate computational advantage in solving it. The efficacy of the algorithm is shown with the help of numerical examples.

Keywords: Optimal trading strategy; Second order stochastic dominance; Market impact; Risk aversion (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10479-014-1697-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:243:y:2016:i:1:d:10.1007_s10479-014-1697-0

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-014-1697-0

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().