Optimal control of execution costs for portfolios

Authors
Bertsimas, D Lo, AW Hummel, P
Citation
D. Bertsimas et al., Optimal control of execution costs for portfolios, COMPUT SC E, 1(6), 1999, pp. 40-53
Citations number
13
Categorie Soggetti
Multidisciplinary,"Computer Science & Engineering
Journal title
COMPUTING IN SCIENCE & ENGINEERING
ISSN journal
15219615 → ACNP
Volume
1
Issue
6
Year of publication
1999
Pages
40 - 53
Database
ISI
SICI code
1521-9615(199911/12)1:6<40:OCOECF>2.0.ZU;2-R
Abstract
The authors apply stochastic dynamic programming to derive trading strategi es that minimize the expected cost of executing a portfolio of securities o ver a fixed time period. They test their strategies using real-world stock data.