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q-fin.TR2020
Optimal trading without optimal control
Bastien Baldacci, Jerome Benveniste, Gordon Ritter
A hypothetical risk-neutral agent who trades to maximize the expected profit of the next trade will approximately exhibit long-term optimal behavior as long as this agent uses the…
q-fin.TR2020
A note on Almgren-Chriss optimal execution problem with geometric Brownian motion
Bastien Baldacci, Jerome Benveniste
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…