Optimal Portfolio Trading: Adaptive Multi-period Trade Execution

20 Pages Posted: 9 Apr 2020 Last revised: 20 Apr 2020

See all articles by Alex Boulatov

Alex Boulatov

HSE Moscow; University of Houston - C.T. Bauer College of Business

Alex Ulitsky


Date Written: March 26, 2020


We propose a new approach to adaptive multi-period trade execution which can be viewed as an extension of Grinold and Kahn (1995) and Almgren and Chriss (1999). Our methodology does not rely on any exogenous switching criteria but instead explicitly includes trading acceleration and deceleration depending on market conditions into equations describing the trading strategy. In other words, we consider adaptive trading strategies that (among other factors) condition on a current price and therefore are stochastic before the price is revealed. The new approach enables us to specify multi-period mean variance style utility function where expectations are taken over all possible realizations of the price process. Consequently while actual trading will still have stochastic nature, we can compute expected portfolio trading costs as well as optimal response to all market conditions on a pre-trade basis.

Keywords: optimal trade execution, adaptive trading

JEL Classification: G1, C6

Suggested Citation

Boulatov, Alex and Ulitsky, Alex, Optimal Portfolio Trading: Adaptive Multi-period Trade Execution (March 26, 2020). Available at SSRN: https://ssrn.com/abstract=3561887 or http://dx.doi.org/10.2139/ssrn.3561887

Alex Boulatov (Contact Author)

HSE Moscow ( email )

26 Shabolovka

University of Houston - C.T. Bauer College of Business ( email )

Houston, TX 77204-6021
United States
713-743-4618 (Phone)

Alex Ulitsky

BlackRock ( email )

400 Howard St.
San Francisco, CA 94105
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
PlumX Metrics