%0 Generic %1 kato2014execution %A Kato, Takashi %D 2014 %K quantfinance trading vwap %T VWAP Execution as an Optimal Strategy %U http://arxiv.org/abs/1408.6118 %X The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren--Chriss model, which is a standard model for optimal execution. We then show that the VWAP strategy is the optimal execution strategy for a risk-neutral trader. Moreover, we examine the case of a risk-averse trader and derive the first-order asymptotic expansion of the optimal strategy for a mean-variance optimization problem.

@misc{kato2014execution, abstract = {The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren--Chriss model, which is a standard model for optimal execution. We then show that the VWAP strategy is the optimal execution strategy for a risk-neutral trader. Moreover, we examine the case of a risk-averse trader and derive the first-order asymptotic expansion of the optimal strategy for a mean-variance optimization problem.}, added-at = {2015-02-05T15:46:07.000+0100}, author = {Kato, Takashi}, biburl = {https://www.bibsonomy.org/bibtex/230049fdedf828e010805205512da5496/shabbychef}, description = {VWAP Execution as an Optimal Strategy}, interhash = {a4b0a025026e968d1511a49529c9771b}, intrahash = {30049fdedf828e010805205512da5496}, keywords = {quantfinance trading vwap}, note = {cite arxiv:1408.6118Comment: 11 pages, 3 figures}, timestamp = {2015-02-05T15:46:07.000+0100}, title = {VWAP Execution as an Optimal Strategy}, url = {http://arxiv.org/abs/1408.6118}, year = 2014 }