Measuring and modeling execution cost and risk

Journal of Portfolio Management

Volumn 38, Issue 2, 2012, Pages 14-28

  Engle, Robert ^a   Ferstenberg, Robert ^b   Russell, Jeffrey ^c  

^a NEW YORK UNIVERSITY   (United States)

^b Consultant residing ^*  (United States)

^c UNIVERSITY OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84870437149     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2012.38.2.014     Document Type: Article

References (16)

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3. -. "Optimal Execution of Portfolio Transactions." Journal of Risk, 3 (2000), pp. 5-39.
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5. Bessembinder, H. "Issues in Assessing Trade Execution Costs." Journal of Financial Markets, 6 (2003), pp. 233-257.
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9. Engle, R., R. Ferstenberg, and J. Russell. "Measuring and Modeling Execution Cost and Risk." University of Chicago Research Paper 08-09 or NYU Working paper NYU FIN 06-044, 2008. Available at http://ssrn.com/abstract= 1211162.
10. Friend, I., and M. Blume. "The Demand for Risky Assets." American Economic Review, 65 (1975), pp. 900-922.
11. Grinold, R., and R. Kahn. Active Portfolio Management, 2nd ed. New York, NY: McGraw-Hill, 1999, pp. 473-475.
12. Keim, D., and A. Madhavan. "Transaction Costs and Investment Style: An Interexchange Analysis of Institutional Equity Trades." Journal of Financial Economics, 46 (1997), pp. 265-292.
13. Lehmann, B. "What We Measure in Execution Cost Measurement." Journal of Financial Markets, 6 (2003), pp. 227-231.
14. Peterson, M., and E. Sirri. "Evaluation of the Biases in Execution Cost Estimation Using Trade and Quote Data." Journal of Financial Markets, 6 (2003), pp. 259-280.
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16. White, H. "Maximum Likelihood Estimation of Misspecified Models." Econometrica, 50 (1982), pp. 1-25.