Optimal Execution in an Evolutionary Setting
We 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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Rodney L. White Center for Financial Research Working Papers
8-98, Wharton School Rodney L. White Center for Financial Research.
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