4 papers
Continuous-time Portfolio Optimization for Absolute Return Funds
Masashi Ieda
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upp…
A dynamic optimal execution strategy under stochastic price recovery
Masashi Ieda
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large…
An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities
Masashi Ieda
We propose a new numerical method for solving the Hamilton-Jacobi-Bellman quasi-variational inequality associated with the combined impulse and stochastic optimal control problem o…
A liability tracking approach to long term management of pension funds
Masashi Ieda, Takashi Yamashita, Yumiharu Nakano
We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framewo…