Optimal Execution of Time-Constrained Portfolio Transactions

Farid AitSahlia (), Yuan-Chyuan Sheu () and Panos M. Pardalos ()
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Farid AitSahlia: University of Florida
Yuan-Chyuan Sheu: University of Florida
Panos M. Pardalos: University of Florida

A chapter in Computational Methods in Financial Engineering, 2008, pp 95-102 from Springer

Abstract: Abstract Time-constrained dynamic optimal portfolio transactions for institutional investors are investigated. The resulting constrained dynamic programming problem is solved approximately through a succession of quadratic programs. The ensuing strategies are then tested on real data. The model extends a recent one by accounting for liquidity differences between stocks.

Keywords: Trade price impact; dynamic programming; quadratic approximation (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/978-3-540-77958-2_5

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