Discrete Dynamics in Nature and Society / 2018 / Article / Tab 2

Research Article

Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach

Table 2

Optimal execution results.

StrategyAverage 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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