An Algorithmic Approach to Optimal Asset Liquidation Problems

Hinz, J; Yee, J

An Algorithmic Approach to Optimal Asset Liquidation Problems

Hinz, J

Yee, J

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Publication Type:: Journal Article
Citation:: Asia-Pacific Financial Markets, 2017, 24 (2), pp. 109 - 129
Issue Date:: 2017-06-01

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Field	Value	Language
dc.contributor.author	Hinz, J https://orcid.org/0000-0003-4076-8818	en_US
dc.contributor.author	Yee, J	en_US
dc.date.issued	2017-06-01	en_US
dc.identifier.citation	Asia-Pacific Financial Markets, 2017, 24 (2), pp. 109 - 129	en_US
dc.identifier.issn	1387-2834	en_US
dc.identifier.uri	http://hdl.handle.net/10453/123314
dc.description.abstract	© 2017, Springer Japan. 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.	en_US
dc.relation.ispartof	Asia-Pacific Financial Markets	en_US
dc.relation.isbasedon	10.1007/s10690-017-9226-1	en_US
dc.subject.classification	Finance	en_US
dc.title	An Algorithmic Approach to Optimal Asset Liquidation Problems	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	24	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/DVC (Teaching and Learning)
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	24	en_US

Abstract:

© 2017, Springer Japan. 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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/123314