Abstract. We explicitly give the optimal trade execution strategy in the Almgren-Chriss framework, see [1,2], when the publicly available price process follows an arithmetic Brownian motion with zero drift. The financial setting is completed by choosing the risk parameters to be the Value at Risk and the Expected Shortfall associated with the Profit and Loss distribution of the strategy's position.
OPTIMAL EXECUTION STRATEGY UNDER ARITHMETIC BROWNIAN MOTION WITH VAR AND ES AS RISK PARAMETERS
DI PERSIO, Luca
2014-01-01
Abstract
Abstract. We explicitly give the optimal trade execution strategy in the Almgren-Chriss framework, see [1,2], when the publicly available price process follows an arithmetic Brownian motion with zero drift. The financial setting is completed by choosing the risk parameters to be the Value at Risk and the Expected Shortfall associated with the Profit and Loss distribution of the strategy's position.
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