Dynamic Portfolio Execution
Dynamic Portfolio Execution
About this item
Full title
Dynamic Portfolio Execution
Author / Creator
Publisher
Linthicum: INFORMS
Journal title
Management science, 2019-05, Vol.65 (5), p.2015-2040, Article mnsc.2017.2865
Language
English
Formats
Publication information
Publisher
Linthicum: INFORMS
Subjects
More information
Scope and Contents
Contents
We analyze the optimal execution problem of a portfolio manager trading multiple assets. In addition to the liquidity and risk of each individual asset, we consider cross asset interactions in these two dimensions, which substantially enriches the nature of the problem. Focusing on the market microstructure, we develop a tractable order book model...
Alternative Titles
Full title
Dynamic Portfolio Execution
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_gale_infotracgeneralonefile_A590651192
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_gale_infotracgeneralonefile_A590651192
Other Identifiers
ISSN
0025-1909
E-ISSN
1526-5501
DOI
10.1287/mnsc.2017.2865
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