{"id":{"repo_id":"mit","oai_identifier":"oai:dspace.mit.edu:1721.1/42352"},"canonical_url":"https://search.dev.ndltd.org/etd/mit/oai:dspace.mit.edu:1721.1/42352","repository":{"repo_id":"mit","name":"MIT","base_url":"https://dspace.mit.edu/oai/request"},"display":{"title":"Optimal execution for portfolio transactions","abstract":"In my thesis I explore the problem of optimizing trading strategies for complex portfolio transitions. Institutional investors run into this issue during periodic portfolio rebalancing or transition between asset managers. The costs of rebalancing can be broadly broken into trading costs (both the transaction cost and the market impact) and the opportunity costs of delaying the execution and bearing the risk of current-to-target portfolio divergence. This thesis proposes a methodology for measuring the opportunity cost as well as a strategy that minimizes the proposed measure through optimal portfolio transition execution. The benefits from the proposed trading strategy are benchmarked against the industry standard portfolio trading practices.","abstract_html":"In my thesis I explore the problem of optimizing trading strategies for complex portfolio transitions. Institutional investors run into this issue during periodic portfolio rebalancing or transition between asset managers. The costs of rebalancing can be broadly broken into trading costs (both the transaction cost and the market impact) and the opportunity costs of delaying the execution and bearing the risk of current-to-target portfolio divergence. This thesis proposes a methodology for measuring the opportunity cost as well as a strategy that minimizes the proposed measure through optimal portfolio transition execution. The benefits from the proposed trading strategy are benchmarked against the industry standard portfolio trading practices.","abstract_has_math":false,"creators":["Fadeev, Alexander"],"institution":"Massachusetts Institute of Technology","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":"System Design and Management Program.","school":null,"contributors":[],"advisors":["John C. Cox."],"committee_chairs":[],"committee_members":[],"year":2007,"date_issued":"2007","date_published":"2007","updated_at":"2026-07-22T22:21:00Z","subjects":["System Design and Management Program."],"languages":["eng"],"rights":["M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission."],"rights_urls":["http://dspace.mit.edu/handle/1721.1/7582"],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/1721.1/42352","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["John C. Cox."]},{"key":"dc:contributor.department","label":"Department","values":["System Design and Management Program."]},{"key":"dc:contributor.other","label":"Dc Contributor Other","values":["System Design and Management Program."]},{"key":"dc:creator","label":"Author","values":["Fadeev, Alexander"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2008-09-03T15:25:16Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2008-09-03T15:25:16Z"]},{"key":"dc:date.issued","label":"Date","values":["2007"]},{"key":"dc:publisher","label":"Institution","values":["Massachusetts Institute of Technology"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["System Design and Management Program."]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission."]},{"key":"dc:rights.uri","label":"Rights URI","values":["http://dspace.mit.edu/handle/1721.1/7582"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/1721.1/42352"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Thesis (S.M.)--Massachusetts Institute of Technology, System Design and Management Program, February 2007.","Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["In my thesis I explore the problem of optimizing trading strategies for complex portfolio transitions. Institutional investors run into this issue during periodic portfolio rebalancing or transition between asset managers. The costs of rebalancing can be broadly broken into trading costs (both the transaction cost and the market impact) and the opportunity costs of delaying the execution and bearing the risk of current-to-target portfolio divergence. This thesis proposes a methodology for measuring the opportunity cost as well as a strategy that minimizes the proposed measure through optimal portfolio transition execution. The benefits from the proposed trading strategy are benchmarked against the industry standard portfolio trading practices."]},{"key":"dc:description.degree","label":"Dc Description Degree","values":["S.M."]},{"key":"dc:title","label":"Title","values":["Optimal execution for portfolio transactions"]}]}],"canonical_facts":{"dc:contributor.advisor":["John C. Cox."],"dc:contributor.department":["System Design and Management Program."],"dc:contributor.other":["System Design and Management Program."],"dc:creator":["Fadeev, Alexander"],"dc:date.accessioned":["2008-09-03T15:25:16Z"],"dc:date.available":["2008-09-03T15:25:16Z"],"dc:date.issued":["2007"],"dc:description":["Thesis (S.M.)--Massachusetts Institute of Technology, System Design and Management Program, February 2007.","Includes bibliographical references."],"dc:description.abstract":["In my thesis I explore the problem of optimizing trading strategies for complex portfolio transitions. Institutional investors run into this issue during periodic portfolio rebalancing or transition between asset managers. The costs of rebalancing can be broadly broken into trading costs (both the transaction cost and the market impact) and the opportunity costs of delaying the execution and bearing the risk of current-to-target portfolio divergence. This thesis proposes a methodology for measuring the opportunity cost as well as a strategy that minimizes the proposed measure through optimal portfolio transition execution. The benefits from the proposed trading strategy are benchmarked against the industry standard portfolio trading practices."],"dc:description.degree":["S.M."],"dc:identifier.uri":["http://hdl.handle.net/1721.1/42352"],"dc:language.iso":["eng"],"dc:publisher":["Massachusetts Institute of Technology"],"dc:rights":["M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission."],"dc:rights.uri":["http://dspace.mit.edu/handle/1721.1/7582"],"dc:subject":["System Design and Management Program."],"dc:title":["Optimal execution for portfolio transactions"],"dc:type":["Thesis"]},"updated_at":"2026-07-22T22:21:00Z"}