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.
|Sidansvarig: Filip Lindskog