Optimal Trading Strategy with Optimal Horizon

Journal Of Investment Management (JOIM), Third Quarter 2008

Posted: 7 Oct 2008 Last revised: 19 Oct 2010

Date Written: October 6, 2008

Abstract

Portfolio implementation is an essential part of active investment strategies. The trading horizon-the length of time allocated for trade implementation, is an important consideration in portfolio trading. Previous research on optimal trading limits the trading horizon as a fixed value. In this paper, we treat it as an endogenous factor and find the optimal trading horizon as a part of optimal trading strategy to further reduce trading costs. We derive analytical results for optimal trading strategy with optimal horizon and provide numerical examples for illustration.

Keywords: Optimal trading, trading horizon, portfolio management

JEL Classification: G00

Suggested Citation

Qian, Edward E., Optimal Trading Strategy with Optimal Horizon (October 6, 2008). Journal Of Investment Management (JOIM), Third Quarter 2008. Available at SSRN: https://ssrn.com/abstract=1279701

Edward E. Qian (Contact Author)

PanAgora Asset Management ( email )

470 Atlantic Avenue, 8th Floor
Boston, MA 02210
United States
617-439-6327 (Phone)

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