论文标题
在执行风险下清算问题的最佳解决方案
Optimal solution of the liquidation problem under execution risk
论文作者
论文摘要
我们考虑一个不断交易的投资者,并希望在规定的时间间隔内清算初始资产地位。在执行清算订单期间,投资者将承担执行风险。我们研究了寻找投资者采用的最佳清算策略的问题,以最大程度地提高清算产生的预期收入。我们提出了清算问题的数学模型,该模型扩展了Almgren和Chriss的模型(Almgren,R。,Chriss,N。,最佳投资组合交易的执行,风险杂志,2000年),包括执行风险。清算问题被建模为有限地平线的线性二次随机控制问题,在某些假设下,可以明确求解。
We consider an investor that trades continuously and wants to liquidate an initial asset position within a prescribed time interval. During the execution of the liquidation order the investor is subject to execution risk. We study the problem of finding the optimal liquidation strategy adopted by the investor in order to maximize the expected revenue resulting from the liquidation. We present a mathematical model of the liquidation problem that extends the model of Almgren and Chriss (Almgren, R., Chriss, N., Optimal execution of portfolio transactions, Journal of Risk, 2000) to include execution risk. The liquidation problem is modeled as a linear quadratic stochastic optimal control problem with finite horizon and, under some hypotheses, is solved explicitly.