{"id":"https://openalex.org/W1559071042","doi":"https://doi.org/10.1109/icassp.2015.7178626","title":"Monotone optimal policies in portfolio liquidation problems","display_name":"Monotone optimal policies in portfolio liquidation problems","publication_year":2015,"publication_date":"2015-04-01","ids":{"openalex":"https://openalex.org/W1559071042","doi":"https://doi.org/10.1109/icassp.2015.7178626","mag":"1559071042"},"language":"en","primary_location":{"id":"doi:10.1109/icassp.2015.7178626","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp.2015.7178626","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101635710","display_name":"Daniel J. Crawford","orcid":"https://orcid.org/0009-0004-3991-5598"},"institutions":[{"id":"https://openalex.org/I141945490","display_name":"University of British Columbia","ror":"https://ror.org/03rmrcq20","country_code":"CA","type":"education","lineage":["https://openalex.org/I141945490"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Daniel Crawford","raw_affiliation_strings":["Department of Electrical and Computer Engineering, The University of British Columbia","The University of British Columbia,Department of Electrical and Computer Engineering,Canada"],"affiliations":[{"raw_affiliation_string":"Department of Electrical and Computer Engineering, The University of British Columbia","institution_ids":["https://openalex.org/I141945490"]},{"raw_affiliation_string":"The University of British Columbia,Department of Electrical and Computer Engineering,Canada","institution_ids":["https://openalex.org/I141945490"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5068804090","display_name":"Vikram Krishnamurthy","orcid":"https://orcid.org/0000-0002-4170-6056"},"institutions":[{"id":"https://openalex.org/I141945490","display_name":"University of British Columbia","ror":"https://ror.org/03rmrcq20","country_code":"CA","type":"education","lineage":["https://openalex.org/I141945490"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Vikram Krishnamurthy","raw_affiliation_strings":["Department of Electrical and Computer Engineering, The University of British Columbia","The University of British Columbia,Department of Electrical and Computer Engineering,Canada"],"affiliations":[{"raw_affiliation_string":"Department of Electrical and Computer Engineering, The University of British Columbia","institution_ids":["https://openalex.org/I141945490"]},{"raw_affiliation_string":"The University of British Columbia,Department of Electrical and Computer Engineering,Canada","institution_ids":["https://openalex.org/I141945490"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5101635710"],"corresponding_institution_ids":["https://openalex.org/I141945490"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0438227,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"3521","last_page":"3525"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9941999912261963,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/monotone-polygon","display_name":"Monotone polygon","score":0.7421314716339111},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6312280893325806},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.6152838468551636},{"id":"https://openalex.org/keywords/countable-set","display_name":"Countable set","score":0.6152357459068298},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.5451624989509583},{"id":"https://openalex.org/keywords/markov-decision-process","display_name":"Markov decision process","score":0.5334703326225281},{"id":"https://openalex.org/keywords/hamilton\u2013jacobi\u2013bellman-equation","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","score":0.519376814365387},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.5112550258636475},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5043314695358276},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5004291534423828},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.4684006869792938},{"id":"https://openalex.org/keywords/discrete-time-and-continuous-time","display_name":"Discrete time and continuous time","score":0.45802339911460876},{"id":"https://openalex.org/keywords/simultaneous-perturbation-stochastic-approximation","display_name":"Simultaneous perturbation stochastic approximation","score":0.44247016310691833},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.41153761744499207},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.32580915093421936},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.30631929636001587},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.21424877643585205},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.12852910161018372}],"concepts":[{"id":"https://openalex.org/C2834757","wikidata":"https://www.wikidata.org/wiki/Q4925424","display_name":"Monotone polygon","level":2,"score":0.7421314716339111},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6312280893325806},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6152838468551636},{"id":"https://openalex.org/C110729354","wikidata":"https://www.wikidata.org/wiki/Q185478","display_name":"Countable set","level":2,"score":0.6152357459068298},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.5451624989509583},{"id":"https://openalex.org/C106189395","wikidata":"https://www.wikidata.org/wiki/Q176789","display_name":"Markov decision process","level":3,"score":0.5334703326225281},{"id":"https://openalex.org/C196978813","wikidata":"https://www.wikidata.org/wiki/Q3302775","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","level":3,"score":0.519376814365387},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.5112550258636475},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5043314695358276},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5004291534423828},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.4684006869792938},{"id":"https://openalex.org/C55689738","wikidata":"https://www.wikidata.org/wiki/Q15963867","display_name":"Discrete time and continuous time","level":2,"score":0.45802339911460876},{"id":"https://openalex.org/C2779880469","wikidata":"https://www.wikidata.org/wiki/Q17084424","display_name":"Simultaneous perturbation stochastic approximation","level":3,"score":0.44247016310691833},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.41153761744499207},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.32580915093421936},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.30631929636001587},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.21424877643585205},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12852910161018372},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icassp.2015.7178626","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp.2015.7178626","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/16","display_name":"Peace, Justice and strong institutions","score":0.5199999809265137}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W2035446426","https://openalex.org/W2077791698","https://openalex.org/W2102134363","https://openalex.org/W2136974670","https://openalex.org/W2138410336","https://openalex.org/W2156726223","https://openalex.org/W2213161892","https://openalex.org/W3121773157","https://openalex.org/W3125123194","https://openalex.org/W6679910008","https://openalex.org/W6688010394"],"related_works":["https://openalex.org/W2350933764","https://openalex.org/W2743900035","https://openalex.org/W2375407349","https://openalex.org/W2483195623","https://openalex.org/W4301305831","https://openalex.org/W2180817123","https://openalex.org/W2094032802","https://openalex.org/W3197359003","https://openalex.org/W2963548356","https://openalex.org/W2358967034"],"abstract_inverted_index":{"This":[0,72],"work":[1],"considers":[2],"the":[3,35,40,49,55,60,66,69,80,84,92,101,104],"problem":[4],"of":[5,8,57,68,100,103],"optimal":[6,36,50,81,93],"liquidation":[7,37],"a":[9,15],"single":[10],"risky":[11],"asset":[12],"portfolio":[13],"as":[14],"denumerable":[16],"Markov":[17],"Decision":[18],"Processes":[19],"(MDP)":[20],"control":[21],"problem.":[22],"The":[23],"model":[24],"is":[25,39,46,52],"defined":[26],"over":[27],"discrete":[28],"time,":[29],"state,":[30],"and":[31,34,65],"action":[32],"sets,":[33],"strategy":[38,51],"solution":[41],"to":[42,63,78],"Bellman's":[43],"equation.":[44],"It":[45],"shown":[47],"that":[48],"monotone":[53],"in":[54],"number":[56],"shares":[58],"owned,":[59],"time":[61],"remaining":[62],"liquidation,":[64],"price":[67],"underlying":[70],"asset.":[71],"structural":[73],"result":[74],"can":[75,95],"be":[76,96],"exploited":[77],"estimate":[79],"policy":[82,94],"via":[83],"simultaneous":[85],"perturbation":[86],"stochastic":[87],"approximation":[88],"(SPSA)":[89],"algorithm.":[90],"Therefore,":[91],"estimated":[97],"without":[98],"knowledge":[99],"parameters":[102],"model.":[105]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
