Optimal Execution in an Evolutionary Setting

We consider the dynamic trading strategies that minimize the expected cost of trading a large block of securities over a fixed finite number of periods. We obtain the result in which the institutional investor sells more stocks in early stages when we introduce the conjectures about the others' actions o¤ the equilibrium path that is identical to the ones on the equilibrium path, compared to the outcome in the normal setting.

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Year of publication:	2009-03
Authors:	Ishii, Ryosuke
Institutions:	Institute of Economic Research, Kyoto University

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Extent:	application/pdf
Series:	KIER Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 670
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005385288