AN OPTIMAL EXECUTION PROBLEM WITH MARKET IMPACT, EXECUTION COST, AND TRANSACTION COST

DOI IR (HANDLE)

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Other Title
  • マーケット・インパクト, 流動化コスト, 取引コストを考慮した最適執行問題

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Description

The purpose of this thesis is to solve an optimal execution problem with (parmanent) market impact, execution cost (temporary market impact), and transaction cost by using dynamic programming method of stochastic control theory. When the stock price follows a stochastic differential equation, we formulate the optimal execution problem as an expected wealth maximization problem with a finite time horizon. Then, by using dynamic programming method, we derive an HJB equation which our value function follows and solve the HJB equation to obtain the explicit expression of the value function and the optimal execution strategy on some regions. Finally we show some numerical results about our optimal execution and sensitive analysis.

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Details 詳細情報について

  • CRID
    1390574490535813760
  • DOI
    10.15002/00025407
  • HANDLE
    10114/00025407
  • ISSN
    24368083
  • Text Lang
    ja
  • Article Type
    departmental bulletin paper
  • Data Source
    • JaLC
    • IRDB
  • Abstract License Flag
    Allowed

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