docs · the pieces · actupcoming
Kessai
Named, not delivered. The piece would execute a swap and issue a receipt an agent can be audited on: what was intended, what was filled, and the shortfall between the two. The receipt measures the execution; it does not pick the route.
In one picture
What exists today
What it does not claim
Sources
- Robert Almgren and Neil Chriss (2000) Optimal Execution of Portfolio Transactions. Journal of Risk, vol. 3, no. 2. read in part Used for the trade-off between the expected cost and the variance of an execution.
- Andre F. Perold (1988) The Implementation Shortfall: Paper versus Reality. The Journal of Portfolio Management, vol. 14, no. 3, pp. 4-9. not yet obtained Used for the yardstick of an execution receipt, cited as a name only until obtained.