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A Note on Almgren–Chriss Optimal Execution Problem with Geometric Brownian Motion

Bastien Baldacci & Jerome Benveniste

Market Microstructure and Liquidity2019https://doi.org/10.1142/s2382626620500057preprint
ABDC B
Weight
0.39

What the paper says

We solve explicitly the Almgren–Chriss optimal liquidation problem where the stock price process follows a geometric Brownian motion. Our technique is to work in terms of cash and to use functional analysis tools. We show that this framework extends readily to the case of a stochastic drift for the price process and the liquidation of a portfolio.

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https://doi.org/https://doi.org/10.1142/s2382626620500057

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@article{bastien2019,
  title        = {{A Note on Almgren–Chriss Optimal Execution Problem with Geometric Brownian Motion}},
  author       = {Bastien Baldacci & Jerome Benveniste},
  journal      = {Market Microstructure and Liquidity},
  year         = {2019},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626620500057},
}

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A Note on Almgren–Chriss Optimal Execution Problem with Geometric Brownian Motion

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Evidence weight

0.39

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.10 × 0.4 = 0.04
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.