Optimal Execution of Portfolio Transactions¶
Almgren, R., & Chriss, N. (2001). Optimal Execution of Portfolio Transactions. The Journal of Risk, 5-39.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Mechanisms¶
- Controlled Drawdown Schedule
- The schedule's signature move shows up when the finance team pushes to clear it all before quarter-end: the protocol answers with the rate the channels can absorb, not the rate the calendar wants — the whole point of pricing market impact into the pace.
This sourceModels liquidation pace by explicitly pricing market impact into execution speed.
- The schedule's signature move shows up when the finance team pushes to clear it all before quarter-end: the protocol answers with the rate the channels can absorb, not the rate the calendar wants — the whole point of pricing market impact into the pace.
Verification¶
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Does it back the claim? Not recorded. The single citation of this work carries no recorded support check.
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Registry ID ref:c4ec8315978b · see in the full table