2026-09-19T15:59:36Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/423522022-01-13T07:55:19Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
John C. Cox.
Fadeev, Alexander
System Design and Management Program.
System Design and Management Program.
2008-09-03T15:25:16Z
2008-09-03T15:25:16Z
2006
2007
http://hdl.handle.net/1721.1/42352
234177429
Thesis (S.M.)--Massachusetts Institute of Technology, System Design and Management Program, February 2007.
Includes bibliographical references.
In my thesis I explore the problem of optimizing trading strategies for complex portfolio transitions. Institutional investors run into this issue during periodic portfolio rebalancing or transition between asset managers. The costs of rebalancing can be broadly broken into trading costs (both the transaction cost and the market impact) and the opportunity costs of delaying the execution and bearing the risk of current-to-target portfolio divergence. This thesis proposes a methodology for measuring the opportunity cost as well as a strategy that minimizes the proposed measure through optimal portfolio transition execution. The benefits from the proposed trading strategy are benchmarked against the industry standard portfolio trading practices.
by Alexander Fadeev.
S.M.
50 p.
eng
Massachusetts Institute of Technology
M.I.T. theses are protected by
copyright. They may be viewed from this source for any purpose, but
reproduction or distribution in any format is prohibited without written
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http://dspace.mit.edu/handle/1721.1/7582
System Design and Management Program.
Optimal execution for portfolio transactions
Thesis
application/pdf
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