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

Ask an Expert

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

Write your message here..

Related Questions

Calculate yield to maturity, Calculate Bond's Yield to Maturity Consid... Calculate Bond's Yield to Maturity Consider a coupon bond that has a $1,000 per value and a coupon rate of 10%. The bond is currently selling for $1,150 and has 8 years to mat

Explain the accounting treatment , This is a research case.  You must compl... This is a research case.  You must complete this assignment INDIVIDUALLY.  This means no help from other students.  You may consult Dr. Eldridge while you are working on this case.

Explain about tax ramifications, Q. Explain about Tax Ramifications? i)... Q. Explain about Tax Ramifications? i) Exercise price effects capital gains of individual and effects compensation expense used by corporation for calculating company's compens

Illustrate individuals budget constraint, An individual is currently workin... An individual is currently working 40 hours per week, earning $10 per hour.  He loses his job and successfully applies for unemployment insurance.  The insurance plan works as foll

State the users of accounting information, State the users of accounting in... State the users of accounting information Environment has brought new challenges for managers and other users of accounting information. Their requirements have changed and bot

What are the various strategies about bond, What are the various strategies... What are the various strategies behind selected low (e.g., zero) or high coupon rates when issuing bonds?

Factoring and invoice discounting, The cash flow as well as other benefits ... The cash flow as well as other benefits of factoring was discussed earlier. Invoice discounting as well offers cash flow advantages. Here selected invoices of superior quality are

RETAINED PROFITS BROUGHT FORWARD-group accounts, RETAINED PROFITS BROUGHT F... RETAINED PROFITS BROUGHT FORWARD If we recall from the consolidated balance sheet, the group-retained profits should be made up of the holding companies retained profit plus the

CONSOLIDATED ACCOUNTING, HOW TO CALCULTE GOODWILL FOR CONSOLIDATED STATEMEN... HOW TO CALCULTE GOODWILL FOR CONSOLIDATED STATEMENTS

Compute both basic and diluted earnings per share, 1. Assume that the follo... 1. Assume that the following data relative to Eddy Company for 2014 is available: Net Income $1,400,000 Transactions in Common Shares Change Cumulative Jan. 1, 2014, Beginnin