Optimal trading under non-negativity constraints using approximate dynamic programming
In this paper, we develop an extended dynamic programming (DP) approach to solve the problem of minimising execution cost in block trading of securities. To make the problem more practical, we add non-negativity constraints to the model and propose a novel approach to solve the resulting DP problem...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor and Francis Ltd.
2018
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |