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检索条件"主题词=Approximation solution scheme"
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Stochastic Control for Optimal Execution:Fast approximation solution scheme Under Nested Mean-semi Deviation and Conditional Value at Risk
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Journal of the Operations Research Society of China 2017年 第2期5卷 161-176页
作者: Meng-Fei He Duan Li Yuan-Yuan Chen China International Fund Management Ltd Shanghai 200120China Department of Systems Engineering and Engineering Management The Chinese University of Hong KongHong KongChina Risk Management Institute National University of SingaporeSingaporeSingapore
When executing a large order of stocks in a market,one important factor in forming the optimal trading strategy is to consider the price impact of large-volume trading *** a risk measure of the implementation shortfal... 详细信息
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