多客户Almande-Chriss模型下的最优经纪合同
Optimal brokerage contracts in Almgren-Chriss model with multiple clients
摘要：
本文构建了多个（异质）客户交易单一资产的最优经纪合同，其价格遵循Almante-Chriss模型。这项工作的显着特点如下：（i）客户的保留值是内生确定的，（ii）经纪人被允许不提供合同的一些潜在的客户，从而选择她的投资组合的客户战略。我们找到了一个计算上易于处理的客户端的最佳投资组合的特征（数字优化问题，可以有效地解决，如果潜在的客户数量很小），并进行数值实验，说明这些投资组合，以及所有市场参与者的均衡利润，取决于价格影响系数。
英文摘要：
This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features of this work are as follows: (i) the reservation values of the clients are determined endogenously, and (ii) the broker is allowed to not offer a contract to some of the potential clients, thus choosing her portfolio of clients strategically. We find a computationally tractable characterization of the optimal portfolios of clients (up to a digital optimization problem, which can be solved efficiently if the number of potential clients is small) and conduct numerical experiments which illustrate how these portfolios, as well as the equilibrium profits of all market participants, depend on the price impact coefficients.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
