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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- Obizhaeva, Anna A. & Wang, Jiang, 2013.
"Optimal trading strategy and supply/demand dynamics,"
Journal of Financial Markets,
Elsevier, vol. 16(1), pages 1-32.
- Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
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