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 execution risk. A broker-dealer agency is authorized to execute an order of trading on some client’s behalf. The strategies […]
Continue.. Leveraging IS and TC: Optimal order execution subject to reference strategies