OPTIMAL EXECUTION STRATEGY UNDER ARITHMETIC
BROWNIAN MOTION WITH VAR AND ES
AS RISK PARAMETERS
Chiara Benazzoli1, Luca Di Persio2
1Department of Mathematics
University of Trento
Trento, 38123, ITALY
2Department of Computer Science
University of Verona
Verona, 37134, ITALY
Abstract. We explicitly give the optimal trade execution strategy in the Almgren-Chriss framework, see [1,2], when the publicly available price process follows an arithmetic Brownian motion with zero drift. The financial setting is completed by choosing the risk parameters to be the Value at Risk and the Expected Shortfall associated with the Profit and Loss distribution of the strategy's position.
AMS Subject classification: 60J60, 91B24, 91B30, 91B70
Keywords and phrases: optimal execution strategy, non-liquid market, risk measure, market impact, value at risk, expected shortfall


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DOI: 10.12732/ijam.v27i2.5

Volume: 27
Issue: 2
Year: 2014