Optimal control of execution costs for portfolios

被引：34
作者：
Bertsimas, D
Lo, AW
Hummel, P
机构：
[1] MIT, Sloan Sch Management, Cambridge, MA 02142 USA
[2] MIT, Ctr Operat Res, Cambridge, MA 02142 USA
[3] Long Term Capital Management, Greenwich, CT 06831 USA
来源：
COMPUTING IN SCIENCE & ENGINEERING | 1999年 / 1卷 / 06期
基金：
美国国家科学基金会;
关键词：
D O I：
10.1109/5992.805135
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
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.
引用
收藏
页码：40 / 53
页数：14
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