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Bertimas, D.;
Lo, A.W.;
Hummel, P.;
Sloan Sch. of Manage., MIT, Cambridge, MA
This paper appears in: Computing in Science & Engineering
Issue Date: Nov/Dec 1999
Volume: 1
Issue:6
On page(s):
40
- 53
ISSN: 1521-9615
References Cited: 21
Cited by :
4
INSPEC Accession Number: 6425700
Digital Object Identifier: 10.1109/5992.805135
Date of Current Version:
06 August 2002
Sponsored by:
IEEE Computer Society
American Institute of Physics
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
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