A note on Almgren-Chriss optimal execution problem with geometric Brownian motion

preprint2020arXivOpen access

Abstract

We solve explicitly the Almgren-Chriss optimal liquidation problem where the stock price process follows a geometric Brownian motion. Our technique is to work in terms of cash and to use functional analysis tools. We show that this framework extends readily to the case of a stochastic drift for the price process and the liquidation of a portfolio.

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