Execution Risk
研究了交易成本中的风险与回报权衡，提出最优执行模型，并指出执行风险可衡量流动性风险，对交易策略和风险管理有参考价值。
Transaction costs in trading involve both risk and return. Risk is a result of price movements and price impacts over a gradual trading period. Return is associated with the cost of immediate execution. The trade-off between risk and return in optimal execution reflects the same risk preferences as in ordinary investment. Models of the joint optimization of positions and trades show conditions under which optimal execution does not depend on the other holdings in the portfolio. Optimal execution, however, may call for trades in assets other than those listed in the trading order; these can hedge the trading risks. The execution risk model for trading with reversals and continuations implies a natural measure of liquidity risk. <b>TOPICS:</b>Risk management, exchanges/markets/clearinghouses