Marzo, Massimiliano; Ritelli, Daniele; Zagaglia, Paolo - Rimini Centre for Economic Analysis (RCEA) - 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 results of Almgren (2003) are based on the assumption that no shares of assets per unit of...