Shortermism and excessive risk taking in optimal execution with a target performance
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866917431842177024 |
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| author | Barucci, Emilio Lan, Yuheng |
| author_facet | Barucci, Emilio Lan, Yuheng |
| contents | We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the broker evaluated at the market price plus a slippage cost yielding a quadratic inventory cost. Over a short horizon, this type of remuneration leads, at the same time, to a more aggressive and less risky strategy compared to the classical one, and over a long horizon the performance turns to be poorer and more dispersed. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_15611 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Shortermism and excessive risk taking in optimal execution with a target performance Barucci, Emilio Lan, Yuheng Mathematical Finance Trading and Market Microstructure We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the broker evaluated at the market price plus a slippage cost yielding a quadratic inventory cost. Over a short horizon, this type of remuneration leads, at the same time, to a more aggressive and less risky strategy compared to the classical one, and over a long horizon the performance turns to be poorer and more dispersed. |
| title | Shortermism and excessive risk taking in optimal execution with a target performance |
| topic | Mathematical Finance Trading and Market Microstructure |
| url | https://arxiv.org/abs/2505.15611 |