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, December 13, 2007, 12:15 pm

Duration: This information is not available in the database

Location: OAT S15/S16/S17

Speaker: Julian Lorenz

Adaptive Execution of Portfolio Transactions

We consider the problem of optimally executing a large portfolio transaction within a specified period of time. For an institutional investor, the size of his buy or sell order is often larger than the market can immediately supply or absorb, and his trading will move the price (market impact). His order must be worked across some period of time, exposing him to price volatility. The investor needs to find a trade-off between the market impact costs of rapid execution and the market risk of slow execution. This problem was considered by Almgren and Chriss (2000). In this talk we will show how their results can be improved by allowing price adaptive trading strategies.

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