论文标题
几何布朗运动的Almgren-Chriss最佳执行问题的注释
A note on Almgren-Chriss optimal execution problem with geometric Brownian motion
论文作者
论文摘要
我们明确地解决了Almgren-Chriss最佳清算问题，其中股票价格过程遵循几何布朗尼运动。我们的技术是在现金和使用功能分析工具方面工作。我们表明，该框架很容易扩展到价格过程和投资组合清算的随机漂移情况。
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.
