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.
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© 2008 Springer-Verlag Berlin Heidelberg
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AitSahlia, F., Sheu, YC., Pardalos, P.M. (2008). Optimal Execution of Time-Constrained Portfolio Transactions. In: Kontoghiorghes, E.J., Rustem, B., Winker, P. (eds) Computational Methods in Financial Engineering. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-77958-2_5
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DOI: https://doi.org/10.1007/978-3-540-77958-2_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-77957-5
Online ISBN: 978-3-540-77958-2
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