2015年5月
VWAP Execution as an Optimal Strategy
JSIAM Letters
- 巻
- 7
- 号
- 開始ページ
- 33
- 終了ページ
- 36
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.14495/jsiaml.7.33
The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We then show that the VWAP strategy is the optimal execution strategy for a risk-neutral trader. Moreover, we examine the case of a risk-averse trader and derive the first-order asymptotic expansion of the optimal strategy for a mean-variance optimization problem.
- リンク情報
- ID情報
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- DOI : 10.14495/jsiaml.7.33