Efficient trading frontier: a shortage function approach

被引：5
|
作者：
Khemchandani, Reshma [1 ]
Chandra, Suresh [2 ]
机构：
[1] South Asian Univ, Dept Comp Sci, New Delhi, India
[2] IIT Delhi, Dept Math, New Delhi, India
来源：
OPTIMIZATION | 2014年 / 63卷 / 10期
关键词：
shortage function; efficient trading frontier; risk aversion; quadratic programming; PORTFOLIO SELECTION;
D O I：
10.1080/02331934.2014.883508
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we propose a nonparametric efficiency-based approach for the optimal trading strategy that trades off the execution risk with that of the execution cost. A shortage function is defined that looks for possible decrease in the execution cost as well as decreases in the execution risk. Global optimality is guaranteed for the resulting optimal trading strategy. An empirical section on a small sample of assets serves as an illustration.
引用
收藏
页码：1533 / 1548
页数：16
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