A trade execution model under a composite dynamic coherent risk measure

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.