Portfolio Choice with Small Temporary and Transient Price Impact
We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen (2016). In the large-liquidity limit where both frictions are small, we derive explicit formulas for the asymptotically optimal trading rate and the corresponding minimal leading-order performance loss. We find that the losses are governed by the volatility of the frictionless target strategy, like in models with only temporary price impact. In contrast, the corresponding optimal portfolio not only tracks the frictionless optimizer, but also exploits the displacement of the market price from its unaffected level.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Optimal Portfolio Choice with Cross-Impact Propagators
We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross-impact driven by a matrix-valued Volterra propagator, as well as temporary price impa…
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of …
Open-Ended Question AnsweringPortfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks
We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. The model allows to combine various forms of market impact, namely instantaneous, perm…
Research on Portfolio Liquidation Strategy under Discrete Times
This paper presents an optimal strategy for portfolio liquidation under discrete time conditions. We assume that N risky assets held will be liquidated according to the same time interval and order quantity, and the basi…
A two-player portfolio tracking game
We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Vo{\ss} (2017). Specifically, both agents track their own stochastic running trading targets while …
Vocal Bursts Valence Prediction