Optimal execution of Portfolio transactions with geometric price process

Gerardo Hernández-del-Valle and Carlos Pacheco-Gonzalez

Papers from arXiv.org

Abstract: In this paper we derive the optimal execution trajectory for a trader who wishes to buy or sell a large position of shares which evolve as a geometric Brownian process in contrast to the arithmetic model which prevails in the existing literature, and with a general temporary impact $h$. We provide a couple of examples which illustrate the results. We would like to stress the fact that in this paper we use understandable user-friendly techniques.

Date: 2009-08, Revised 2009-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/0908.1211 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0908.1211

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().