A note on Almgren-Chriss optimal execution problem with geometric Brownian motion
Trading and Market Microstructure
2020-06-25 v2 Computational Finance
Abstract
We solve explicitly the Almgren-Chriss optimal liquidation problem where the stock price process follows a geometric Brownian motion. Our technique is to work in terms of cash and to use functional analysis tools. We show that this framework extends readily to the case of a stochastic drift for the price process and the liquidation of a portfolio.
Cite
@article{arxiv.2006.11426,
title = {A note on Almgren-Chriss optimal execution problem with geometric Brownian motion},
author = {Bastien Baldacci and Jerome Benveniste},
journal= {arXiv preprint arXiv:2006.11426},
year = {2020}
}