ダウンロード数: 99
タイトル: | Optimal Execution in an Evolutionary Setting |
著者: | Ishii, Ryosuke |
発行日: | Mar-2009 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 670 |
抄録: | We consider the dynamic trading strategies that minimize the expected cost of trading a large block of securities over a fixed finite number of periods. We obtain the result in which the institutional investor sells more stocks in early stages when we introduce the conjectures about the others' actions o¤ the equilibrium path that is identical to the ones on the equilibrium path, compared to the outcome in the normal setting. |
URI: | http://hdl.handle.net/2433/129579 |
関連リンク: | http://ideas.repec.org/p/kyo/wpaper/670.html |
出現コレクション: | KIER Discussion Paper (英文版) |
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