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• W1921068018 abstract "We consider the optimal liquidation of a position of stock (long or short) where trading has a temporary market impact on the price. The aim is to minimize both the mean and variance of the order slippage with respect to a benchmark given by the market volume‐weighted average price (VWAP). In this setting, we introduce a new model for the relative volume curve which allows simultaneously for accurate data fit, economic justification, and mathematical tractability. Tackling the resulting optimization problem using a stochastic control approach, we derive and solve the corresponding Hamilton–Jacobi–Bellman equation to give an explicit characterization of the optimal trading rate and liquidation trajectory." @default.
• W1921068018 created "2016-06-24" @default.
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• W1921068018 creator A5037410659 @default.
• W1921068018 date "2013-10-09" @default.
• W1921068018 modified "2023-10-03" @default.
• W1921068018 title "OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH" @default.
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• W1921068018 doi "https://doi.org/10.1111/mafi.12048" @default.
• W1921068018 hasPublicationYear "2013" @default.
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