摘要翻译：
利用离散时间随机控制理论，针对给定的市场模型，设计了一个在给定时间范围内执行预定数量股票的最优配置策略。这种市场结构允许市场指令的即时执行，并基于股票价格离散化几何运动的假设进行了分析。我们考虑了两种不同的成本函数，其中第一种函数只包含财务成本，而第二种成本函数包含了非战略约束投资的风险和财务成本。准确地说，利用定义良好的股票价格随机行为，从数学上建立了在T个单位的规定时间框架内K只股票的约束执行策略发展，并利用历史股票价格数据与一些常用的执行策略进行了比较。
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英文标题：
《Optimizing Execution Cost Using Stochastic Control》
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作者：
Akshay Bansal, Diganta Mukherjee
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最新提交年份：
2019
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Economics        经济学
二级分类：Theoretical Economics        理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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英文摘要：
  We devise an optimal allocation strategy for the execution of a predefined number of stocks in a given time frame using the technique of discrete-time Stochastic Control Theory for a defined market model. This market structure allows an instant execution of the market orders and has been analyzed based on the assumption of discretized geometric movement of the stock prices. We consider two different cost functions where the first function involves just the fiscal cost while the cost function of the second kind incorporates the risks of non-strategic constrained investments along with fiscal costs. Precisely, the strategic development of constrained execution of K stocks within a stipulated time frame of T units is established mathematically using a well-defined stochastic behaviour of stock prices and the same is compared with some of the commonly-used execution strategies using the historical stock price data.
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PDF链接：
https://arxiv.org/pdf/1909.10762