The Almgren–Chriss model is a mathematical model in mathematical finance for the optimal execution of large portfolio transactions. Developed by Robert Almgren and Neil Chriss in a series of working papers in 1999 and published in 2000, the model frames the liquidation of a large position over a fixed time horizon as a mean-variance trade-off between market impact costs (incurred by trading too quickly) and timing risk (incurred by trading too slowly).
The Almgren–Chriss model is a mathematical model in mathematical finance for the optimal execution of large portfolio transactions. Developed by Robert Almgren and Neil Chriss in a series of working papers in 1999 and published in 2000, the model frames the liquidation of a large position over a fixed time horizon as a mean-variance trade-off between market impact costs (incurred by trading too quickly) and timing risk (incurred by trading too slowly).
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