A trade execution model under a composite dynamic coherent risk measure

作者：Lin Qihang^*; Chen Xi; Pena Javier

来源：Operations Research Letters, 2015, 43(1): 52-58.

DOI：10.1016/j.orl.2014.11.005

• Dynamic coherent risk measures
• Trade execution
• Risk-averse Markov decision process

We investigate the trade execution problem where a risky asset must be sold before a deadline with a control on the transaction cost. The asset price is modeled as a discrete random walk perturbed by price impacts. We show that the optimal trading strategy minimizing a dynamic coherent risk of the transaction cost is time-consistent and deterministic. We obtain a closed-form expression for the optimal strategy and evaluate its numerical performance over real data.

• 出版日期2015-1