Optimal Execution
Optimal execution formalizes a tradeoff among expected cost, price risk, impact, completion, and constraints. The result is optimal only inside its model.
Central questions
- What state, objective, controls, and constraints define the problem?
- Which impact and price dynamics are assumed?
- How sensitive is the policy to parameter error?
Planned model
Adjust risk aversion, horizon, volatility, and impact coefficients in a small discrete-time control problem and compare resulting schedules.