Scientific Research Publishing

Read  full  paper  at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=53355#.VMBdCizQrzE Author(s)     Seiya Kuno 1 , Masamitsu Ohnishi 2   Affiliation(s) 1 Center for the Study of Finance and Insurance, Osaka University, Osaka, Japan . 2 Graduate School of Economics, Osaka University, Osaka, Japan . ABSTRACT This article shows the execution performance of the risk-averse institutional trader with constant absolute risk aversion (CARA) type utility by using the condition of no price manipulation defined in the risk neutral sense. From two linear price impact models both satisfying that condition, we have derived the unique explicit optimal execution strategy calculated backwardly with dynamic programming equations. And our study shows that the optimal execution strategy exists in the static class. The derived solution can be decomposed into mainly two components, each giving an explanation of the property of op...

Read  full  paper  at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=53355#.VL3P4izQrzE Author(s)   Seiya Kuno 1 , Masamitsu Ohnishi 2   Affiliation(s) 1 Center for the Study of Finance and Insurance, Osaka University, Osaka, Japan . 2 Graduate School of Economics, Osaka University, Osaka, Japan . ABSTRACT This article shows the execution performance of the risk-averse institutional trader with constant absolute risk aversion (CARA) type utility by using the condition of no price manipulation defined in the risk neutral sense. From two linear price impact models both satisfying that condition, we have derived the unique explicit optimal execution strategy calculated backwardly with dynamic programming equations. And our study shows that the optimal execution strategy exists in the static class. The derived solution can be decomposed into mainly two components, each giving an explanation of the property of optimal execu...