OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK-Reference-Cited by-同舟云学术

OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

Published:2011-05 Issue:03 Volume:14 Page:353-368
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

GATHERAL JIM¹,SCHIED ALEXANDER²

Affiliation:

1. Department of Mathematics, Baruch College, CUNY, One Bernard Baruch Way, New York, NY 10010, USA

2. Department of Mathematics, University of Mannheim, A5, 6, 68131 Mannheim, Germany

Abstract

With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren–Chriss framework assuming the underlying unaffected stock price process is geometric Brownian motion.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024911006577

Reference9 articles.

1. Optimal execution with nonlinear impact functions and trading-enhanced risk

2. Optimal execution of portfolio transactions

3. Coherent Measures of Risk

4. Optimal control of execution costs

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