[size=47.3365px]  论文：A practical framework for estimating transaction costs and developing optimal trading strategies to achieve best execution
[size=47.3365px]  作者：Robert Kissell, Morton Glantz, R Malamut
[size=47.3365px]  摘要：[size=47.3365px]In this paper we provide both a decision framework to estimate transaction costs and develop optimal trading strategies to achieve best execution. The methodology is based on an unbundling approach whereby costs are categorized into transparent and hidden, and fixed and variable components. The classification serves as the foundation for developing execution strategies for a fund's implementation goals. For example, the methodology easily adapts to strategies aimed at preserving asset value, achieving the closing price or volume weighted average price (“VWAP”), and minimizing tracking error. Further, we show how to determine the best execution strategy (“BES”) from a set of optimal strategies given a fund's goal and objectives via a set of decision-making criteria. Ultimately, best execution translates to lower transaction costs and higher portfolio returns.
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