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Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework
market impact optimal order execution Almgren-Chriss model robustness model uncertainty
2012/4/28
Assuming geometric Brownian motion as unaffected price process $S^0$, Gatheral & Schied (2011) derived a strategy for optimal order execution that reacts in a sensible manner on market changes but can...
Drift dependence of optimal order execution strategies under transient price impact
Drift dependence of optimal order execution strategies transient price impact Trading and Market Microstructure
2012/4/28
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with expo...
Numerical methods for an optimal order execution problem
Optimal liquidation Impulse control problem Quasi-variational inequality
2010/10/20
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The c...