Kavli Affiliate: Cheng Peng | First 5 Authors: Xue Cheng, Peng Guo, Tai-ho Wang, , | Summary: The paper addresses the problem of meta order execution from a broker-dealer’s point of view in Almgren-Chriss model under order fill uncertainty. A broker-dealer agency is authorized to execute an order of trading on client’s behalf. The strategies […]
Continue.. Optimal Order Execution subject to Reservation Strategies under Execution Risk