Title :
Optimal control of execution costs for portfolios
Author :
Bertimas, D. ; Lo, Andrew W. ; Hummel, Paul
Author_Institution :
Sloan Sch. of Manage., MIT, Cambridge, MA, USA
Abstract :
The authors apply stochastic dynamic programming to derive trading strategies that minimize the expected cost of executing a portfolio of securities over a fixed time period. They test their strategies using real-world stock data
Keywords :
dynamic programming; optimal control; securities trading; execution costs; optimal control; portfolios; real-world stock data; securities portfolio; stochastic dynamic programming; trading strategies; Asset management; Cost function; Data security; Dynamic programming; Financial management; Optimal control; Portfolios; Retirement; Stochastic processes; Testing;
Journal_Title :
Computing in Science & Engineering
DOI :
10.1109/5992.805135
