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SamHarper
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Joined: July 14th, 2018, 5:01 pm

Optimisation problem for Multi Asset Liquidation

July 14th, 2018, 5:09 pm

Hi,

I have attached a more in-depth background for this question.

If I have predicted price time-horizon, trading limits and a number of constraints, what optimisation method is best? I have been told stochastic game, but not sure whether that's true.

Any help is greatly appreciated.

Kind Regards

Sam
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Cuchulainn
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Re: Optimisation problem for Multi Asset Liquidation

July 16th, 2018, 11:26 am