Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142295 | Operations Research Letters | 2015 | 7 Pages |
Abstract
We investigate the trade execution problem where a risky asset must be sold before a deadline with a control on the transaction cost. The asset price is modeled as a discrete random walk perturbed by price impacts. We show that the optimal trading strategy minimizing a dynamic coherent risk of the transaction cost is time-consistent and deterministic. We obtain a closed-form expression for the optimal strategy and evaluate its numerical performance over real data.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Qihang Lin, Xi Chen, Javier Peña,