Prof. Emo Welzl and Prof. Bernd Gärtner
|Mittagsseminar Talk Information
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
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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