Optimal Execution in an Evolutionary Setting
AbstractWe consider the dynamic trading strategies that minimize the expected cost of trading a large block of securities over a fixed finite number of periods. We obtain the result in which the institutional investor sells more stocks in early stages when we introduce the conjectures about the others' actions o¤ the equilibrium path that is identical to the ones on the equilibrium path, compared to the outcome in the normal setting.
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Bibliographic InfoPaper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 670.
Date of creation: Mar 2009
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