ABSTRACT
Like Monsieur Jourdain, the character of Molie`re who has been speaking prose for years without even knowing it, most academic papers on optimal execution deal with a specific type of orders, often without knowing it: Implementation Shortfall (IS) orders. In this chapter, we use the Almgren-Chriss framework introduced in Chapter 3 to deal with other types of orders: Target Close, POV, and VWAP orders.1 We also discuss the limitations of the Almgren-Chriss framework, especially as far as market volumes are concerned.
