VWAP execution as an optimal strategy

@article{Kato2015VWAPEA,
  title={VWAP execution as an optimal strategy},
  author={Takashi Kato},
  journal={JSIAM Lett.},
  year={2015},
  volume={7},
  pages={33-36}
}
  • Takashi Kato
  • Published 2015
  • Computer Science, Economics
  • JSIAM Lett.
The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren--Chriss model, which is a standard model for optimal execution. We then show that the VWAP strategy is the optimal execution strategy for a risk-neutral trader. Moreover, we examine the case of a risk-averse trader and derive the first-order asymptotic expansion of the optimal strategy for a mean-variance… Expand
1 Citations

References

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