hard · Market Microstructure
An Almgren-Chriss risk-averse execution trajectory results in a value of κ = 0.1.
If the total horizon is T = 5 periods, what is the remaining inventory x_k at t_k = 2 relative to the total order X?
- 0.400X
- 0.600X
- 0.578X
- 0.750X
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