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Asia-Pacific Financial Markets

Erschienen in:

17.05.2017

An Algorithmic Approach to Optimal Asset Liquidation Problems

verfasst von: Juri Hinz, Jeremy Yee

Erschienen in: Asia-Pacific Financial Markets | Ausgabe 2/2017

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Abstract

This paper examines discrete-time optimal control problems arising in the context of optimal asset liquidation using recently published algorithms and code. We address these questions within a realistic framework, assuming that the order placement decisions must be adapted dynamically. Furthermore, we show how a duality-based technique can be used to assess the quality of our numerical solution.

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Titel: An Algorithmic Approach to Optimal Asset Liquidation Problems
verfasst von: Juri Hinz
Jeremy Yee
Publikationsdatum: 17.05.2017
Verlag: Springer Japan
Erschienen in: Asia-Pacific Financial Markets / Ausgabe 2/2017
Print ISSN: 1387-2834
Elektronische ISSN: 1573-6946
DOI: https://doi.org/10.1007/s10690-017-9226-1