Optimal execution of portfolio trans-actions

@inproceedings{Almgren2000OptimalEO,
  title={Optimal execution of portfolio trans-actions},
  author={Robert Almgren and Neil A Chriss},
  year={2000}
}
We consider the execution of portfolio transactions with the aim of minimizing a combination of volatility risk and transaction costs arising from permanent and temporary market impact. For a simple linear cost model, we explicitly construct the efficient frontier in the space of time-dependent liquidation strategies, which have minimum expected cost for a given level of uncertainty. We may then select optimal strategies either by minimizing a quadratic utility function, or by minimizing Value… 

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