Determine the optimal liquidation quantity, Financial Accounting

The bid-offer spread as a function of daily trading volume is given by :p(q) = a + b*exp(cq)
where q = daily trading volume

a = 0.08
b= 0.10
c = 0.05

A trader wants to unwind a position of 50 million units over a period of 3 days. The daily volatility of price change of the position is $0.50. Determine the optimal liquidation quantity for each day if the trader wants to minimize liquidation and market risk costs with a confidence level of 95% (λ = 1.64).

Posted Date: 3/25/2013 4:17:59 AM | Location : United States







Related Discussions:- Determine the optimal liquidation quantity, Assignment Help, Ask Question on Determine the optimal liquidation quantity, Get Answer, Expert's Help, Determine the optimal liquidation quantity Discussions

Write discussion on Determine the optimal liquidation quantity
Your posts are moderated
Related Questions
During 2012, Kimmel Co. incurred average accumulated expenditures of $600,000 during construction of assets that qualified for capitalization of interest. The only debt outstanding

Steinberg Corporation and Dietrich Corporation are identical firms except that Dietrich is more levered. Both companies will remain in business for one more year. The companies' ec

Should Touring Enterprises consider liabilities as a part of its permanent financing? Why or why not?n #Minimum 100 words accepted#

Lockheed Martin's management wishes to find out whether they have excess debt capacity. Its current market value of equity is $40 b and its book value of debt is $

Q. What do you understand by Partnership? Partnership - Relationship between two or more persons based on anoral, written or implied agreement whereby they agree to carry on a

1. Consider the following balance sheet: Best Care HMO                  Balance Sheet               June 30, 2007 Assets  / Current Assets*

John Chan considers buying a six-month stock futures contract on the shares of Li & Fung Limited. Shares of Li & Fung Limited are now trading at $50 per share and it is expected th

Do you have anyone on staff that understands acquisition accounting procedures?

is net sales an asset

US GAAP follows the Historical Cost Concept in valuing the cost of Long-Term Assets. Explain this principle and how it compares to the standards used in the reporting of Long-Term