Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework
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.
Volume (Year): 14 (2011)
Issue (Month): 03 ()
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