Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework
Baruch College, CUNY
University of Mannheim
October 2, 2012
International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 353-368, 2011
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.
Number of Pages in PDF File: 14
Keywords: HJB, optimal execution, risk measures, market impactAccepted Paper Series
Date posted: August 6, 2010 ; Last revised: October 3, 2012
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo4 in 1.188 seconds