Optimal Dynamic Trading Strategies with Risk Limits

Domenico Cuoco
Domenico Cuoco
[email protected]
The Wharton School, University of Pennsylvania, Philadelphia, Pennsylvania 19104
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,
Hua He
Hua He
[email protected]
Lehman Brothers Japan, Inc., 10-1-6 Roppongi, Tokyo, Japan
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,
Sergei Isaenko
Sergei Isaenko
[email protected]
The John Molson School, Concordia University, Montreal, Quebec, Canada H3G 1M8
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Domenico Cuoco

[email protected]

The Wharton School, University of Pennsylvania, Philadelphia, Pennsylvania 19104

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Hua He

[email protected]

Lehman Brothers Japan, Inc., 10-1-6 Roppongi, Tokyo, Japan

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Sergei Isaenko

[email protected]

The John Molson School, Concordia University, Montreal, Quebec, Canada H3G 1M8

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Published Online:1 Apr 2008https://doi.org/10.1287/opre.1070.0433

Supplemental Material

opre.1070.0433-sm-ec.pdf (66 KB)

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Volume 56, Issue 2

March-April 2008

Pages ii-526

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Received:February 01, 2006
Accepted:January 01, 2007
Published Online:April 01, 2008

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Domenico Cuoco, Hua He, Sergei Isaenko, (2008) Optimal Dynamic Trading Strategies with Risk Limits. Operations Research 56(2):358-368.

https://doi.org/10.1287/opre.1070.0433

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Optimal Dynamic Trading Strategies with Risk Limits

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