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Optimal Execution Strategy: Price Im...

Junca Pelaez, Mauricio Jose.

Optimal Execution Strategy: Price Impact and Transaction Cost.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Optimal Execution Strategy: Price Impact and Transaction Cost.
Author:	Junca Pelaez, Mauricio Jose.
Description:	66 p.
Notes:	Source: Dissertation Abstracts International, Volume: 73-07(E), Section: B.
Notes:	Advisers: Xin Guo; Lawrence C. Evans.
Contained By:	Dissertation Abstracts International73-07B(E).
Subject:	Mathematics.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3498832
ISBN:	9781267226488

Optimal Execution Strategy: Price Impact and Transaction Cost.
Junca Pelaez, Mauricio Jose.

Optimal Execution Strategy: Price Impact and Transaction Cost. - 66 p.

Source: Dissertation Abstracts International, Volume: 73-07(E), Section: B.

Thesis (Ph.D.)--University of California, Berkeley, 2011.

We study a single risky financial asset model subject to price impact and transaction cost over infinite and finite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed transaction cost. The objective is to maximize the discounted revenue obtained by this transaction. This problem is formulated first as an impulse control problem and we characterize the value function using the viscosity solutions framework. We establish an associated optimal stopping problem that provides bounds and in some cases the solution of the value function. We also analyze the case where there is no transaction cost and how this formulation relates with a singular control problem. A viscosity solution characterization is provided in this case as well. An explicit solution of the value function is calculated in a particular case. Numerical examples with different types of price impact conclude the discussion.

ISBN: 9781267226488Subjects--Topical Terms:

184409
Mathematics.

Optimal Execution Strategy: Price Impact and Transaction Cost.
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245 1 0 $a Optimal Execution Strategy: Price Impact and Transaction Cost.
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500 $a Source: Dissertation Abstracts International, Volume: 73-07(E), Section: B.
500 $a Advisers: Xin Guo; Lawrence C. Evans.
502 $a Thesis (Ph.D.)--University of California, Berkeley, 2011.
520 $a We study a single risky financial asset model subject to price impact and transaction cost over infinite and finite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed transaction cost. The objective is to maximize the discounted revenue obtained by this transaction. This problem is formulated first as an impulse control problem and we characterize the value function using the viscosity solutions framework. We establish an associated optimal stopping problem that provides bounds and in some cases the solution of the value function. We also analyze the case where there is no transaction cost and how this formulation relates with a singular control problem. A viscosity solution characterization is provided in this case as well. An explicit solution of the value function is calculated in a particular case. Numerical examples with different types of price impact conclude the discussion.
590 $a School code: 0028.
650 4 $a Mathematics. $3 184409
650 4 $a Operations Research. $3 227148
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710 2 $a University of California, Berkeley. $b Industrial Engineering & Operations Research. $3 603223
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790 1 0 $a Evans, Lawrence C., $e advisor
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856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3498832