{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,4,2]],"date-time":"2023-04-02T21:29:54Z","timestamp":1680470994383},"reference-count":27,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2006,11,14]],"date-time":"2006-11-14T00:00:00Z","timestamp":1163462400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2007,3,1]]},"DOI":"10.1007\/s10479-006-0143-3","type":"journal-article","created":{"date-parts":[[2006,11,13]],"date-time":"2006-11-13T13:35:16Z","timestamp":1163424916000},"page":"193-225","source":"Crossref","is-referenced-by-count":7,"title":["A sample-path approach to optimal position liquidation"],"prefix":"10.1007","volume":"152","author":[{"given":"Pavlo","family":"Krokhmal","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Stanislav","family":"Uryasev","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2006,11,14]]},"reference":[{"key":"143_CR1","doi-asserted-by":"crossref","first-page":"5","DOI":"10.21314\/JOR.2001.041","volume":"3","author":"R. Almgren","year":"2000","unstructured":"Almgren, R. and N. Chriss. (2000). \u201cOptimal Execution of Portfolio Transactions.\u201d Journal of Risk, 3, 5\u201339.","journal-title":"Journal of Risk"},{"key":"143_CR2","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1080\/135048602100056","volume":"10","author":"R. Almgren","year":"2003","unstructured":"Almgren, R. (2003). \u201cOptimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk.\u201d Applied Mathematical Finance, 10, 1\u201318.","journal-title":"Applied Mathematical Finance"},{"key":"143_CR3","doi-asserted-by":"crossref","first-page":"382","DOI":"10.2307\/2331347","volume":"30","author":"J. Barraquand","year":"1995","unstructured":"Barraquand, J. and D. Martineau. (1995). \u201cNumerical Valuation of High Dimensional Multivariate American Securities.\u201d Journal of Financial and Quantitative Analysis, 30, 382\u2013405.","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"143_CR4","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/S1386-4181(97)00012-8","volume":"1","author":"D. Bertsimas","year":"1998","unstructured":"Bertsimas, D. and A. Lo. (1998). \u201cOptimal Control of Execution Costs.\u201d Journal of Financial Markets, 1, 1\u201350.","journal-title":"Journal of Financial Markets"},{"key":"143_CR5","doi-asserted-by":"crossref","first-page":"40","DOI":"10.1109\/5992.805135","volume":"November\/Decemb","author":"D. Bertsimas","year":"1999","unstructured":"Bertsimas, D., A. Lo, and P. Hummel. (1999). \u201cOptimal Control of Execution Costs for Portfolios.\u201d Computing in Science and Engineering November\/December, 40\u201353.","journal-title":"Computing in Science and Engineering"},{"key":"143_CR6","volume-title":"Introduction to Stochastic Programming","author":"J.R. Birge","year":"1997","unstructured":"Birge, J.R. and F. Louveaux. (1997). Introduction to Stochastic Programming. New York: Springer."},{"issue":"1","key":"143_CR7","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1108\/eb043483","volume":"3","author":"E. Bogentoft","year":"2001","unstructured":"Bogentoft, E., H.E. Romeijn, and S. Uryasev. (2001). \u201cAsset\/Liability Management for Pension Funds Using CVaR Constraints.\u201d The Journal of Risk Finance, 3(1), 57\u201371.","journal-title":"The Journal of Risk Finance"},{"key":"143_CR8","doi-asserted-by":"crossref","first-page":"1267","DOI":"10.1016\/S0165-1889(97)00028-6","volume":"21","author":"P. Boyle","year":"1997","unstructured":"Boyle, P., M. Broadie, and P. Glasserman. (1997). \u201cMonte-Carlo Methods for Security Pricing.\u201d Journal of Economic Dynamics and Control, 21, 1267\u20131321.","journal-title":"Journal of Economic Dynamics and Control"},{"key":"143_CR9","doi-asserted-by":"crossref","first-page":"1323","DOI":"10.1016\/S0165-1889(97)00029-8","volume":"21","author":"M. Broadie","year":"1997","unstructured":"Broadie, M. and P. Glasserman. (1997). \u201cPricing American-Style Securities Using Simulations.\u201d Journal of Economic Dynamics and Control, 21, 1323\u20131352.","journal-title":"Journal of Economic Dynamics and Control"},{"key":"143_CR10","unstructured":"Butenko, S., A. Golodnikov, and S. Uryasev. (2003). \u201cOptimal Security Liquidation Algorithms.\u201d Research Report # 2003\u20131, ISE Dept., University of Florida."},{"key":"143_CR11","first-page":"12","volume":"19","author":"J.F. Carriere","year":"1996","unstructured":"Carriere, J.F. (1996). \u201cValuation of the Early-Exercise Price for Derivative Securities Using Simulations and Splines.\u201d Insurance: Mathematics and Economics, 19, 12\u201330.","journal-title":"Insurance: Mathematics and Economics"},{"key":"143_CR12","doi-asserted-by":"crossref","first-page":"1147","DOI":"10.1111\/j.1540-6261.1995.tb04053.x","volume":"50","author":"L. Chan","year":"1995","unstructured":"Chan, L. and J. Lakonishok. (1995). \u201cThe Behavior of Stock Prices Around Institutional Trades.\u201d Journal of Finance, 50, 1147\u20131174.","journal-title":"Journal of Finance"},{"key":"143_CR13","doi-asserted-by":"crossref","first-page":"707","DOI":"10.2140\/pjm.1959.9.707","volume":"9","author":"P. Hartman","year":"1959","unstructured":"Hartman, P. (1959). \u201cOn Functions Representable as a Difference of Convex Functions.\u201d Pacific Journal of Mathematics, 9, 707\u2013713.","journal-title":"Pacific Journal of Mathematics"},{"key":"143_CR14","unstructured":"Hibiki, N. (1999). \u201cMulti-Period Stochastic Programming Models for Dynamic Asset Allocation.\u201d Proceedings of International Conference on Stochastic Systems Theory and Its Applications, Yokogama."},{"key":"143_CR15","unstructured":"Hibiki, N. (2001). \u201cA Hybrid Simulation\/Tree Stochastic Optimization Model for Dynamic Asset Allocation.\u201d JAFFEE Journal, 1, 89\u2013119 [in Japanese]."},{"key":"143_CR16","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4615-0015-5","volume-title":"Introduction to Global Optimization","author":"R. Horst","year":"2000","unstructured":"Horst, R., P.M. Pardalos, and N.V. Thoai. (2000). Introduction to Global Optimization. New York: Kluwer Academic Publishers."},{"issue":"1","key":"143_CR17","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1023\/A:1021765131316","volume":"103","author":"R. Horst","year":"1999","unstructured":"Horst, R. and N.V. Thoai. (1999). \u201cDC Programming: Overview.\u201d Journal of Optimization Theory and Applications, 103(1), 1\u201343.","journal-title":"Journal of Optimization Theory and Applications"},{"key":"143_CR18","doi-asserted-by":"crossref","first-page":"371","DOI":"10.1016\/0304-405X(94)00799-7","volume":"37","author":"D.B. Kein","year":"1995","unstructured":"Kein, D.B. and A. Madhavan. (1995). \u201cAnatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders.\u201d Journal of Financial Economics, 37, 371\u2013398.","journal-title":"Journal of Financial Economics"},{"key":"143_CR19","doi-asserted-by":"crossref","first-page":"422","DOI":"10.15807\/jorsj.42.422","volume":"42","author":"H. Konno","year":"1999","unstructured":"Konno, H. and A. Wijayanayake. (1999). \u201cMean-Absolute Deviation Portfolio Optimization Model under Transaction Costs.\u201d Journal of the Operation Research Society of Japan, 42, 422\u2013435.","journal-title":"Journal of the Operation Research Society of Japan"},{"key":"143_CR20","doi-asserted-by":"crossref","first-page":"569","DOI":"10.1111\/j.1540-6261.1972.tb00985.x","volume":"27","author":"A. Kraus","year":"1972","unstructured":"Kraus, A. and H. Stoll. (1972). \u201cPrice Impacts of Block Trading on the New York Stock Exchange.\u201d Journal of Finance, 27, 569\u2013588.","journal-title":"Journal of Finance"},{"key":"143_CR21","doi-asserted-by":"crossref","first-page":"43","DOI":"10.21314\/JOR.2002.057","volume":"4","author":"P. Krokhmal","year":"2002","unstructured":"Krokhmal, P., J. Palmquist, and S. Uryasev. (2002). \u201cPortfolio Optimization with Conditional Value-at-Risk Objective and Constraints.\u201d Journal of Risk, 4, 43\u201368.","journal-title":"Journal of Risk"},{"key":"143_CR22","doi-asserted-by":"crossref","first-page":"47","DOI":"10.1080\/07421222.1999.11518245","volume":"16","author":"J.T. Rickard","year":"1999","unstructured":"Rickard, J.T. and N.G. Torre. (1999). \u201cOptimal Transaction Implementation.\u201d Journal of Management Information Systems, 16, 47\u201362.","journal-title":"Journal of Management Information Systems"},{"key":"143_CR23","doi-asserted-by":"crossref","first-page":"21","DOI":"10.21314\/JOR.2000.038","volume":"2","author":"R.T. Rockafellar","year":"2000","unstructured":"Rockafellar, R.T. and S. Uryasev. (2000). \u201cOptimization of Conditional Value-at-Risk.\u201d Journal of Risk, 2, 21\u201341.","journal-title":"Journal of Risk"},{"key":"143_CR24","doi-asserted-by":"crossref","first-page":"1443","DOI":"10.1016\/S0378-4266(02)00271-6","volume":"26","author":"R.T. Rockafellar","year":"2002","unstructured":"Rockafellar, R.T. and S. Uryasev. (2002). \u201cConditional Value-at-Risk for General Loss Distributions.\u201d Journal of Banking and Finance, 26, 1443\u20131471.","journal-title":"Journal of Banking and Finance"},{"key":"143_CR25","first-page":"499","volume":"45","author":"J.A. Titley","year":"1993","unstructured":"Titley, J.A. (1993). \u201cValuing American Options in a Path Simulation Model.\u201d Transactions\u2014Society of Actuaries, 45, 499\u2013520.","journal-title":"Transactions\u2014Society of Actuaries"},{"key":"143_CR26","volume-title":"Handbook of Global Optimization","author":"H. Tuy","year":"1994","unstructured":"Tuy, H. (1994). \u201cD. C. Optimization: Theory, Methods, and Algorithms.\u201d In R. Horst and P. Pardalos (eds.), Handbook of Global Optimization. Dordrecht: Kluwer Academic Publishers."},{"key":"143_CR27","unstructured":"Tuy, H. (2000). \u201cOn Some Recent Advances and Applications of D.C. Optimization.\u201d In V.H. Nguyen et al. (eds.), Optimization, Lecture Notes in Economics and Mathematical Systems, Vol. 481, Springer, pp. 473\u2013497."}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-006-0143-3.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-006-0143-3\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-006-0143-3","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,29]],"date-time":"2019-05-29T14:07:37Z","timestamp":1559138857000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-006-0143-3"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2006,11,14]]},"references-count":27,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2007,3,1]]}},"alternative-id":["143"],"URL":"https:\/\/doi.org\/10.1007\/s10479-006-0143-3","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2006,11,14]]}}}