We describe a method for optimally choosing whether to place a market or limit order (and at what price) using a risk-averse investor's expected utility maximization. We allow for a continuum of investor information, risk aversion, and security characteristics. We show that the choice of optimal...

We describe a method for investors to optimally choose whether to place a market or a limit order, and at what price to place a limit order. We base our analysis on a risk averse investor's expected utility maximization, and allow for a continuum of investor information, risk aversion, and...