Trading Portfolios Management

43 Pages Posted: 22 Jun 2013

Date Written: October 29, 2008

Abstract

In this presentation we consider the management of big portfolios that risk trading desks of major financial institutions usually execute on daily basis. We take into account overnight risk for multiple days liquidation algorithm. We also discuss market impact models and the difference between classic portfolio management and dynamic, liquidity adjusted inventory management.

Keywords: market impact models, optimal portfolio liquidation

JEL Classification: C61, C44, G11

Suggested Citation

Skachkov, Igor, Trading Portfolios Management (October 29, 2008). Available at SSRN: https://ssrn.com/abstract=2282877 or http://dx.doi.org/10.2139/ssrn.2282877

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