Journal article
A trade execution model under a composite dynamic coherent risk measure
Operations research letters, Vol.43(1), pp.52-58
01/01/2015
DOI: 10.1016/j.orl.2014.11.005
Abstract
We investigate the trade execution problem where a risky asset must be sold before a deadline with a control on the transaction cost. The asset price is modeled as a discrete random walk perturbed by price impacts. We show that the optimal trading strategy minimizing a dynamic coherent risk of the transaction cost is time-consistent and deterministic. We obtain a closed-form expression for the optimal strategy and evaluate its numerical performance over real data. (C) 2014 Elsevier B.V. All rights reserved.
Details
- Title: Subtitle
- A trade execution model under a composite dynamic coherent risk measure
- Creators
- Qihang Lin - University of IowaXi Chen - New York UniversityJavier Pena - Carnegie Mellon University
- Resource Type
- Journal article
- Publication Details
- Operations research letters, Vol.43(1), pp.52-58
- Publisher
- Elsevier
- DOI
- 10.1016/j.orl.2014.11.005
- ISSN
- 0167-6377
- eISSN
- 1872-7468
- Number of pages
- 7
- Language
- English
- Date published
- 01/01/2015
- Academic Unit
- Business Analytics
- Record Identifier
- 9984380442102771
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