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- W1727964613 abstract "VWAP is the Volume Weighted Average Price of traded stock over a defined period. It is a metric of trade execution quality used by institutional traders to minimize the execution cost of large trades. A riskless VWAP trading strategy is not possible without knowledge of final market volume. We formulate a mean-variance optimal VWAP strategy by assuming knowledge of final volume and then project this onto the space of strategies accessible to the VWAP trader. The mean variance optimal VWAP trading strategy is the sum of two distinct trading strategies, a minimum variance VWAP hedging strategy and a ‘directional’ price strategy independent of the hedging strategy and market VWAP. It is optimal for large volume VWAP traders to increase the size of the price ‘directional’ trade for additional return." @default.
- W1727964613 created "2016-06-24" @default.
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- W1727964613 date "2012-01-01" @default.
- W1727964613 modified "2023-09-23" @default.
- W1727964613 title "Mean Variance Optimal VWAP Trading" @default.
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- W1727964613 doi "https://doi.org/10.2139/ssrn.1803858" @default.
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