15 citations · 28 across the 5 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…
q-fin.PM2021★ 6 cited
Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks
Xiaoyue Li, A. Sinem Uysal, John M. Mulvey
We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given…