Optimal execution of Portfolio transactions with geometric price process
AbstractIn this paper we derive the optimal execution trajectory for a trader who wishes to buy or sell a large position of shares which evolve as a geometric Brownian process in contrast to the arithmetic model which prevails in the existing literature, and with a general temporary impact $h$. We provide a couple of examples which illustrate the results. We would like to stress the fact that in this paper we use understandable user-friendly techniques.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0908.1211.
Date of creation: Aug 2009
Date of revision: Nov 2009
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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