Mean–variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics - Singh, Arti; Selvamuthu, Dharmaraja (Mathematical methods of operations research (Heidelberg, Germany), 2017)
Keywords: Autoregressive processes; Business and Management; Calculus of Variations and Optimal Control; Optimization; Computer simulation; Cost engineering; Dynamic programming; Economic models; Exact solutions; Marketing; Markets; Mathematical analysis; Mathematical models; Mathematics; Mathematics and Statistics; Mutual funds; Operations research; Operations Research/Decision Theory; Original Article; Quadratic programming; Randomness; Risk; Stochastic models; Variance; Optimal trading; Stochastic dominance; Autoregressive behavior; Quadratic programming problem; Risk averse; Execution cost