Research Article
Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach
Table 2
Optimal execution results.
| | Strategy | Average of cost |
| | Random | $13,199,249.89 | | TWAP | $11,569,787.27 | | Risk neutral | $10,871,389.31 | | Mean-VaR | $21,321,881.81 | | Mean-Va | $19,111,757.60 |
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