Topic
Implementation shortfall
About: Implementation shortfall is a research topic. Over the lifetime, 179 publications have been published within this topic receiving 6030 citations.
Papers published on a yearly basis
Papers
TL;DR: In this article, the authors derive dynamic optimal trading strategies that minimize the expected cost of trading a large block of equity over a fixed time horizon, given a fixed block of shares to be executed within a fixed finite number of periods.
1,284 citations
TL;DR: In this article, the coherence properties of the expected shortfall (ES) measure are discussed, and several alternative representations of ES which turn out to be more appropriate are compared.
Abstract: We discuss the coherence properties of Expected Shortfall (ES )a s afinancial risk measure. This statistic arises in a natural way from the estimation of the “average of the 100p% worst losses” in a sample of returns to a portfolio. Here p is some fixed confidence level. We also compare several alternative representations of ESwhich turn out to be more appropriate
661 citations
501 citations
TL;DR: This paper looks for strategies which minimize the shortfall risk defined as the expectation of the shortfall weighted by some loss function, and determined quantile hedges which succeed with maximal probability, given a capital constraint.
Abstract: An investor faced with a contingent claim may eliminate risk by (super-) hedging in a financial market. As this is often quite expensive, we study partial hedges which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal probability, given a capital constraint. Here we look for strategies which minimize the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient hedges allow the investor to interpolate in a systematic way between the extremes of no hedge and a perfect (super-) hedge, depending on the accepted level of shortfall risk.
411 citations
TL;DR: In this paper, the authors examine the costs and determinants of order aggressiveness, and find that aggressive orders have larger price impacts but smaller opportunity costs than passive orders, and that aggressive buys are more likely than sells to be motivated by information.
404 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2021 | 4 |
| 2020 | 7 |
| 2019 | 5 |
| 2018 | 4 |
| 2017 | 13 |
| 2016 | 17 |