标题: quiz on shortfall strategy [打印本页] 作者: Wendy01 时间: 2011-7-11 19:28 标题: quiz on shortfall strategy
Why does shortfall strategy trade heavier early in the day?作者: bboo 时间: 2011-7-11 19:28
minimise mtoc作者: bpdulog 时间: 2011-7-11 19:28
Should be to minimize realized loss from the decision price. I could have decision price 40 and fill my entire order at 45 two hours after open with huge implementation shortfall realized loss and 0 mtoc.
If using limit orders i may cancel trade increasing mtoc...or I could raise my order price against my benchmark and increase delay costs.
Hrm I think you can really make a case for everyone.
How about "to minimize implementation shortfall to the decision price."
Edited 1 time(s). Last edit at Thursday, May 19, 2011 at 05:27AM by Paraguay.作者: mp3bu 时间: 2011-7-11 19:28
As I remember to minimize opportunity cost. VWAP tries to minimize market impact. But implementation shorfall strategy tries to reduce opportunity cost. relative to paper portfolio.
