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20212023
most citedMulti-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks

6 citations · 7 across the 3 of their papers we have counts for

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q-fin.PM2023★ 1 cited

Optimal Portfolio Execution in a Regime-switching Market with Non-linear Impact Costs: Combining Dynamic Program and Neural Network

Xiaoyue Li, John M. Mulvey

Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditio…