Optimal trade execution under price-sensitive risk preferences
研究在流动性差的市场中平仓大额资产头寸时，如何设计策略以降低高清算成本的概率，通过动态规划推导最优执行策略的半显式公式，并给出数值算法和收敛性证明。
We consider the problem of how to close a large asset position in an illiquid market in such a way that very high liquidation costs are unlikely. To this end we introduce a discrete-time model that provides a simple device for designing and controlling the distribution of the revenues/costs from unwinding the position. By appealing to dynamic programming we derive semi-explicit formulas for the optimal execution strategies. We then present a numerical algorithm for approximating optimal execution rates as functions of the price. We provide error bounds and prove convergence. Finally, examples for the liquidation of forward positions in illiquid energy markets illustrate the efficiency of the algorithm.