Marzo, Massimiliano; Ritelli, Daniele; Zagaglia, Paolo - 2011 - This version: November 25, 2011
We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The execution strategy of Almgren (2003) is based on the assumption that no shares per unit of...