Optimal execution of Portfolio transactions with geometric price process
In 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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- Aur\'elien Alfonsi & Antje Fruth & Alexander Schied, 2007. "Optimal execution strategies in limit order books with general shape functions," Papers 0708.1756, arXiv.org, revised Feb 2010.
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