Forsyth, P.A.; Kennedy, J.S.; Tse, S.T.; Windcliff, H. - In: Journal of Economic Dynamics and Control 36 (2012) 12, pp. 1971-1991
We propose the use of a mean quadratic variation criteria to determine an optimal trading strategy in the presence of price impact. We derive the Hamilton Jacobi Bellman (HJB) Partial Differential Equation (PDE) for the optimal strategy, assuming the underlying asset follows Geometric Brownian...