Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy.

Somayeh Moazeni Thomas F. Coleman Yuying Li

Published in: Ann. Oper. Res. (2016)

Keyphrases

optimal strategy
association rules
dynamic programming
classification rules
active databases
risk neutral
monte carlo
expected cost
production rules
risk measures
shape grammars
locally optimal
portfolio selection
business rules
feature selection
optimal control
worst case
state space
optimal solution