Abstract: The present invention provides a method for determining whether to execute an order (or list of orders) immediately, or delay execution in exchange for a possible price savings. The method's generality enables the investor to optimize order decisions given individual beliefs about expected security returns and variance, risk aversion, and portfolio investment goals. Starting from an expected utility framework, the method maximizes the expected gains associated with trading. The method encompasses the case in which the investor plans to trade the security within a specified trading window as well as the case in which trading occurs only at attractive prices. Additionally, under the assumption of constant absolute risk aversion, the method resembles a traditional mean-variance analysis commonly used in equity portfolio management. The method also generalizes to handle the case of multiple orders and enables an investor to consider an order strategy taking overall portfolio risk into account.

Abstract: The present invention provides a method for determining whether to execute an order (or list of orders) immediately, or delay execution in exchange for a possible price savings. The method's generality enables the investor to optimize order decisions given individual beliefs about expected security returns and variance, risk aversion, and portfolio investment goals. Starting from an expected utility framework, the method maximizes the expected gains associated with trading. The method encompasses the case in which the investor plans to trade the security within a specified trading window as well as the case in which trading occurs only at attractive prices. Additionally, under the assumption of constant absolute risk aversion, the method resembles a traditional mean-variance analysis commonly used in equity portfolio management. The method also generalizes to handle the case of multiple orders and enables an investor to consider an order strategy taking overall portfolio risk into account.