{"title":"A note on Almgren-Chriss optimal execution problem with geometric Brownian motion","authors":"Bastien Baldacci, J. Benveniste","doi":"10.1142/s2382626620500057","DOIUrl":null,"url":null,"abstract":"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 to use functional analysis tools. We show that this framework extends readily to the case of a stochastic drift for the price process and the liquidation of a portfolio.","PeriodicalId":8509,"journal":{"name":"arXiv: Trading and Market Microstructure","volume":"44 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Trading and Market Microstructure","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/s2382626620500057","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
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 to use functional analysis tools. We show that this framework extends readily to the case of a stochastic drift for the price process and the liquidation of a portfolio.
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