Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework
AbstractWith an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren–Chriss framework assuming the underlying unaffected stock price process is geometric Brownian motion.
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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.
Volume (Year): 14 (2011)
Issue (Month): 03 ()
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Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml
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- Olivier Gu\'eant, 2012. "Optimal execution and block trade pricing: a general framework," Papers 1210.6372, arXiv.org, revised Oct 2012.
- Florian Kl\"ock & Alexander Schied & Yuemeng Sun, 2012. "Price manipulation in a market impact model with dark pool," Papers 1205.4008, arXiv.org.
- Mauricio Labadie & Charles-Albert Lehalle, 2010. "Optimal trading algorithms and selfsimilar processes: a p-variation approach," Working Papers hal-00546145, HAL.
- Olivier Gu\'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148, arXiv.org, revised Apr 2013.
- Damiano Brigo & Giuseppe Di Graziano, 2013. "Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions," Papers 1304.2942, arXiv.org.
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