*Tid:* **13 oktober 2011 kl 13.15-14.00.** (Observera dagen och
tiden)
**Seminarierummet 3721**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7.
Karta!
*Föredragshållare:*
**
Patrik Nilsson
**
**Titel:**
Liquidation Strategies in a Long-Short Equity Portfolio
(Examensarbete - Master thesis)
**Abstract**
Trading large volumes impact the price of the traded asset which implies a cost
when the position is liquidated. Because of this large investors, such as hedge
funds, need estimates of the expected market impact of their positions. I suggest a model for the market impact of trading and use this model to analyze and compare different liquidation strategies. I specifically consider liquidating large fractions of a long-short equity portfolio. I consider two common liquidation strategies and compare these to another strategy I introduce in this thesis; optimized liquidation which is the solution to an optimization problem. The results show that it is possible to reduce expected market impact costs from a liquidation while keeping the remaining portfolio within pre-specified risk limits.
The full report (pdf)
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