论文标题
与多个客户的Almgren-Chriss模型中的最佳经纪合同
Optimal brokerage contracts in Almgren-Chriss model with multiple clients
论文作者
论文摘要
本文为多个（异质）客户构建了最佳经纪合同，其价格遵循Almgren-Chriss型号。这项工作的独特特征如下：（i）客户的保留价值是内源性确定的，（ii）经纪人不得向某些潜在客户提供合同，从而策略性地选择了她的客户投资组合。我们发现客户端的最佳投资组合（最终数字优化问题，如果潜在客户的数量较小，可以有效地解决）并进行数值实验，从而有效地解决了这些投资组合以及所有市场参与者的平衡利润如何取决于价格影响系数。
This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features of this work are as follows: (i) the reservation values of the clients are determined endogenously, and (ii) the broker is allowed to not offer a contract to some of the potential clients, thus choosing her portfolio of clients strategically. We find a computationally tractable characterization of the optimal portfolios of clients (up to a digital optimization problem, which can be solved efficiently if the number of potential clients is small) and conduct numerical experiments which illustrate how these portfolios, as well as the equilibrium profits of all market participants, depend on the price impact coefficients.
