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Optimal control of execution costs for portfolios

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3 Author(s)
Bertimas, D. ; Sloan Sch. of Manage., MIT, Cambridge, MA, USA ; Lo, A.W. ; Hummel, P.

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

Published in:

Computing in Science & Engineering  (Volume:1 ,  Issue: 6 )

Date of Publication:

Nov/Dec 1999

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