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Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework

In: Finance at Fields

Author

Listed:
  • JIM GATHERAL

    (Department of Mathematics, Baruch College, CUNY, One Bernard Baruch Way, New York, NY 10010, USA)

  • ALEXANDER SCHIED

    (Department of Mathematics, University of Mannheim, A5, 6, 68131 Mannheim, Germany)

Abstract

With 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.

Suggested Citation

  • Jim Gatheral & Alexander Schied, 2012. "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 16, pages 373-388, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814407892_0016
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    Cited by:

    1. Edirisinghe, Chanaka & Jeong, Jaehwan & Chen, Jingnan, 2021. "Optimal portfolio deleveraging under market impact and margin restrictions," European Journal of Operational Research, Elsevier, vol. 294(2), pages 746-759.

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