搜索结果: 1-4 共查到“理论经济学 Optimal Execution”相关记录4条 . 查询时间(0.062 秒)
Calibration of optimal execution of financial transactions in the presence of transient market impact
Calibration financial transactions market
2012/9/14
Trading large volumes of a nancial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A ...
Stochastic impulse control on optimal execution with price impact and transaction cost
Price impact impulse control dynamic programming vis-cosity solutions
2011/3/30
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of...
Optimal Execution Strategy in the Presence of Price Impact
Price impact impulse control singular control
2010/10/21
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of th...
Optimal execution of Portfolio transactions with geometric price process
Optimal execution Portfolio geometric price process
2010/11/2
In this paper we derive the Markowitz-optimal, deterministic-execution trajectory for a trader who wishes to buy or sell a large position of a share which evolves as a geometric Brownian
motion in co...