|  | |
| Identificatore numerico | 2065 |
| Identificatore completo | AlmgrenChriss99 |
| Autore/i | Almgren, R.; Chriss, N.A. |
| Anno | 1999 |
| Titolo | Optimal Execution of Portfolio Transactions |
| Tipo di Pubblicazione | paper |
| Altre Informazioni | University of Chicago, Department of Mathematics, Chicago, April 8 Web Download. |
| Keywords | Costi di transazione - Strategie ottimali di esecuzione; Rischio di liquidità - Estensione VAR |
| Abstract | We consider the execution of portfolio transactions with the aim of minimizing a combination of volatility risk and transaction costs arising from permanent and temporary market impact. For a simple linear cost model, we explicitly construct the efficient frontier in the space of time-dependent liquidation strategies, which have minimum expected cost for a given level of uncertainty. This analysis yields a number we call the "half life" of a trade, the natural time for execution in the absence of exogenous time constraints. We also construct optimal strategies for trading through scheduled news events such as earnings announcements. |
| Importanza | media |
 | |