Miles Kumaresan

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We consider the problem of portfolio optimization under VaR risk measure taking into account transaction costs. Fixed costs as well as impact costs as a nonlinear function of trading activity are incorporated in the optimal portfolio model. Thus the obtained model is a nonlinear optimization problem with nonsmooth objective function. The model is solved by(More)
An optimization model for the execution of algorithmic orders at multiple trading venues is herein proposed and analyzed. The optimal trajectory consists of both market and limit orders, and takes advantage of any price or liquidity improvement in a particular market. The complexity of a multi-market environment poses a bi-level nonlinear optimization(More)
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