portfolio trade invloves an order that requires the execution of purchases or sales in a specific basket of securities as close to the same time as possible
answer is A
Implementation shortfall strategies are typically “front-loaded” in the sense of attempting to exploit market liquidity early in the trading day. Implementation shortfall strategies are especially valuable for portfolio trades, in which control- ling the risk of not executing the trade list is critical. They are also useful in transition management (handing over a portfolio to a new portfolio manager), where multiperiod trading is common and there is a need for formal risk controls.
goodman2011 Wrote:
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> answer is A
> Implementation shortfall strategies are typically
> “front-loaded” in the sense of attempting to
> exploit market liquidity early in the trading day.
> Implementation shortfall strategies are especially
> valuable for portfolio trades, in which control-
> ling the risk of not executing the trade list is
> critical. They are also useful in transition
> management (handing over a portfolio to a new
> portfolio manager), where multiperiod trading is
> common and there is a need for formal risk
> controls.
Where in book?
I would have never put that down. I never heard of using algo for basket trade. Must be on dealer side but I can't even imagine.
Edited 1 time(s). Last edit at Thursday, June 2, 2011 at 04:48PM by Paraguay.
goodman2011 Wrote:
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> in the reading44
They are valuable from an opportunity cost standpoint against other algo strategies.
This question is taken far out of context comparing it to other methods.
EOC 18 uses ECN and Broker/Principal to trade a block order.
"The trader should use an implementation shortfall strategy to control the risk of this rebalance. In short, he should minimize explicit costs by waiting for trades to cross in an electronic crossing network, such as the POSIT trading system, but he should also submit names not likely to cross to a broker in order to minimize opportunity costs."
I guess the answer is all of the above except for VWAP.
Edited 3 time(s). Last edit at Thursday, June 2, 2011 at 04:58PM by Paraguay.
发表于 2011-7-13 16:02
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