medium · Market Microstructure
A portfolio manager uses an Almgren-Chriss optimal trajectory for a highly risk-averse strategy.
Compared to a TWAP (risk-neutral) strategy, how will the trade execution be distributed?
- The execution will be back-loaded to take advantage of closing liquidity.
- The execution will only occur during periods of low volatility.
- The execution will be perfectly even across the entire time horizon.
- The execution will be front-loaded, trading more aggressively at the beginning.
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