Determine the optimal liquidation quantity, Financial Accounting

Assignment Help:

The bid-offer spread as a function of daily trading volume is given by :p(q) = a + b*exp(cq)
where q = daily trading volume

a = 0.08
b= 0.10
c = 0.05

A trader wants to unwind a position of 50 million units over a period of 3 days. The daily volatility of price change of the position is $0.50. Determine the optimal liquidation quantity for each day if the trader wants to minimize liquidation and market risk costs with a confidence level of 95% (λ = 1.64).


Related Discussions:- Determine the optimal liquidation quantity

A valid will-executorship laws and accounts, A Valid Will A will may be...

A Valid Will A will may be made: Orally; it will not be valid unless: 1. It is made before two or more competent witnesses (i.e. persons of sound mind and full age); and 2.

What are some examples of co branded foods?, What are some examples of co b...

What are some examples of co branded foods? is cool ranch doritos one?

Proof of debts-bankruptcy and liquidation, PROOF OF DEBTS The following...

PROOF OF DEBTS The following rules apply as to the proving of debts: 1) A creditor has no right to vote or receive dividends until his debt is proved to the satisfaction of th

Play money assignment, I have this assignment. Is there a cost associated f...

I have this assignment. Is there a cost associated for help?

Adjusting entries clapton guitar company, Adjusting Entries Clapton Guitar ...

Adjusting Entries Clapton Guitar Company entered into the following transactions during 2013. [The transactions were properly recorded in permanent (balance sheet) accounts unless

Red herring, Red Herring -‘Pre-release' PROSPECTUS offering. An announcemen...

Red Herring -‘Pre-release' PROSPECTUS offering. An announcement of a future issuance of SECURITIES, given restricted circulation during waiting period of 20 days or other specified

Illustrate individuals budget constraint, An individual is currently workin...

An individual is currently working 40 hours per week, earning $10 per hour.  He loses his job and successfully applies for unemployment insurance.  The insurance plan works as foll

Calculate economic profit, Calculate Economic profit: Suppose a monopo...

Calculate Economic profit: Suppose a monopolistically competitive firm is facing the following demand and cost information. a.  If the firm is a profit maximizer, how

Present value.., natasha kingrey to calculate present value of salary diffe...

natasha kingrey to calculate present value of salary differential for completing mba

Salary, the salaries paid in 2004 is rs. 500000 salaries outstanding is rs....

the salaries paid in 2004 is rs. 500000 salaries outstanding is rs.20000 salaries paid in advance for 2004 is rs 30000 what is the actual salary expenditure for 2004?

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd