Given a portfolio of 300.000 stocks that you need to exit within
9 days.
The bid-offer-spread is a function of the daily volume of the
stock and is given by:
Given A Portfolio Of 300 000 Stocks That You Need To Exit Within 9 Days The Bid Offer Spread Is A Function Of The Daily 1 (768 Bytes) Viewed 51 times
Where q is given in 1000 stocks.
The standard deviance on the price change is 2%. The confidence
interval is 99%.
How much should you sell each of the 9
days?
f(q) = 0.3+0.25 = = . 0.14
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