TRADING WITH SMALL PRICE IMPACT

TRADING WITH SMALL PRICE IMPACT
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价格影响较小的交易

DOI：
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发表时间：
2014
期刊：
影响因子：
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通讯作者：
H. Soner
H. Soner
中科院分区：
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文献类型：
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作者：
Ludovic Moreau;Johannes Muhle‐Karbe;H. Soner

文献摘要

被引文献

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投资者交易安全资产和多种具有线性价格影响的风险资产，以最大化终端财富的预期效用。在小影响成本的限制下，我们在允许随机市场、成本和偏好参数的一般马尔可夫环境中明确确定最优政策和福利。这些结果揭示了当前问题的总体结构，并揭示了与最优执行问题以及其他市场摩擦（例如比例和固定交易成本）的密切联系。
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general Markovian setting allowing for stochastic market, cost, and preference parameters. These results shed light on the general structure of the problem at hand, and also unveil close connections to optimal execution problems and to other market frictions such as proportional and fixed transaction costs.