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Optimal trading under sign constraints using approximate DP

Optimal trading under sign constraints using approximate DP
Optimal trading under sign constraints using approximate DP
0160-5682
Abbaszadeh, Shahin
b4fdc0f1-a2c7-4303-9aea-817664c61b91
Nguyen, Tri-Dung
a6aa7081-6bf7-488a-b72f-510328958a8e
Yue, Wu
b8bb7a3e-fdab-4e3b-88d1-f188989d7ca8
Abbaszadeh, Shahin
b4fdc0f1-a2c7-4303-9aea-817664c61b91
Nguyen, Tri-Dung
a6aa7081-6bf7-488a-b72f-510328958a8e
Yue, Wu
b8bb7a3e-fdab-4e3b-88d1-f188989d7ca8

Abbaszadeh, Shahin, Nguyen, Tri-Dung and Yue, Wu (2017) Optimal trading under sign constraints using approximate DP. Journal of the Operational Research Society. (In Press)

Record type: Article
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Dynamic Trading_JORS - Accepted Manuscript
Restricted to Repository staff only until 23 July 2019.
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Accepted/In Press date: 23 October 2017
Organisations: Centre of Excellence for International Banking, Finance & Accounting, Operational Research

Identifiers

Local EPrints ID: 369720
URI: https://eprints.soton.ac.uk/id/eprint/369720
ISSN: 0160-5682
PURE UUID: 08634dd8-daf0-415b-ad04-ba8292e2aeae

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Date deposited: 08 Oct 2014 14:29
Last modified: 20 Nov 2017 17:33

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