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- 2018-09-23 发布于福建
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Optimal Execution with
Nonlinear Impact Functions
and Trading-Enhanced Risk
Robert F. Almgren
October 2001
Abstract
We determine optimal trading strategies for liquidation of a large
single-asset portfolio to minimize a combination of volatility risk and
market impact costs. We take the market impact cost per share to be
a power law function of the trading rate, with
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