Mittagsseminar (in cooperation with A. Steger, D. Steurer and B. Sudakov)

Date and Time: Thursday, March 09, 2006, 12:15 pm

Duration: This information is not available in the database

Location: This information is not available in the database

Speaker: Julian Lorenz

Optimal Execution of Portfolio Transactions

We consider the problem of how to perform a large portfolio transaction within a specified period of time. For such a transaction, we face the problem that if we trade too fast, the price will be pushed against our favor due to the law of supply and demand. On the other hand, we have uncertainty of how the price will evolve over time. This problem was considered by Almgren and Chriss (2000) within a risk-reward framework. In this talk we will show how their results can be further improved by allowing price adaptive trading strategies.

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