Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159636
Authors: 
Marzo, Massimiliano
Ritelli, Daniele
Zagaglia, Paolo
Year of Publication: 
2011
Series/Report no.: 
Quaderni - Working Paper DSE 797
Abstract: 
We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The execution strategy of Almgren (2003) is based on the assumption that no shares per unit of time are trade at the beginning of the period. We use a general solution method that accomodates the case of positive initial trades. Our results are twofold. First of all, we show that the problem admits a solution with no trading in the opening period only if additional parametric restrictions are imposed. Second, with positive initial trading, the optimal execution time depends on trading activity in the initial period.
JEL: 
G11
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

Files in This Item:
File
Size
575.43 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.