We study the optimal execution problem in a principal–agent setting. A client contracts to purchase from a dealer. The dealer hedges, buying from the market, creating temporary and permanent price impact. The client chooses a contract, which specifies payment as a function of market prices; hidden action precludes conditioning on the dealer’s hedging trades. We show the first-best benchmark is theoretically achievable with an unrestricted contract set. We then consider weighted-average-price contracts, which are commonly used. In the continuous-time limit, the optimal weighting entails a constant density at interior times and discrete masses at the extremes.

中文翻译：

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 大宗交易承包


我们研究委托代理环境中的最优执行问题。客户签订从经销商处购买的合同。交易商进行对冲，从市场买入，造成暂时和永久的价格影响。客户选择一份合同，其中指定付款方式为市场价格的函数；隐性行动排除了对交易商的对冲交易的制约。我们证明，理论上可以通过不受限制的合同集实现最佳基准。然后我们考虑常用的加权平均价格合约。在连续时间限制下，最佳权重需要在内部时间保持恒定的密度，在极端情况下保持离散质量。