Benazzoli, Chiara; Di Persio, Luca - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-14
A trader wishes to execute a given number of shares of an illiquid asset. Since the asset price also depends on the trading behaviour, the trader main aim is to find the execution strategy that minimizes the related expected costs. We solve this problem in a discrete time framework, by modeling...