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- 2011-7-2
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- 2015-12-13
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Implementation Shortfall = Commisions Not Really Opportune
Commisions = Cost of Commissions / (Benchmark Price * Total Order)
Not filled Order = (Decision Price – Benchmark Price)/Benchmark Price * Filled Shares/Total Shares
Realized Profit = (Execution Price – Decision Price)/ Benchmark Price * Filled Shares/Total Shares
Opportunity Cost of missed trade = (Closing Price-Benchmark)/Benchmark * Unfilled Shares/Total Shares |
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发表于 2011-7-13 16:27
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