Department of Computer Science | Institute of Theoretical Computer Science | CADMO

Theory of Combinatorial Algorithms

Prof. Emo Welzl and Prof. Bernd Gärtner

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

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

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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