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DTSTART:20180311T070000
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DTSTART:20181104T060000
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DTSTART;TZID=America/Toronto:20181126T120000
SEQUENCE:0
TRANSP:TRANSPARENT
DTEND;TZID=America/Toronto:20181126T130000
URL:https://uwaterloo.ca/management-science-engineering/events/management-s
 ciences-seminar-yiqiang-q-zhao-optimal-trading
LOCATION:CPH - Carl A. Pollock Hall 200 University Avenue West Room 4335 Wa
 terloo ON N2L 3G1 Canada
SUMMARY:Management Sciences seminar | Yiqiang Q. Zhao: \"Optimal Trading Un
 der\nthe Mean-Quadratic Criterion\"
CLASS:PUBLIC
DESCRIPTION:In this talk\, we discuss a discrete-time model where the under
 lying\nasset price is subject to stochastic volatility and liquidity for\n
 optimal trade execution. This model is an extension of Almgren and\nChriss
 ' model. Instead of the mean-variance criterion\, we consider the\nmean-qu
 adratic criterion for choosing the optimal strategy through\napplications 
 of Markov decision processes. We carry out a numerical\nanalysis by Monte 
 Carlo simulation and provide detailed comparison\nresults under various ri
 sk aversion criteria.
DTSTAMP:20260420T102553Z
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