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A trader wishes to unwind a position of 60 million units in an asset over 10 days

Finance

A trader wishes to unwind a position of 60 million units in an asset over 10 days. The dollar bid-offer spread as a function of daily trading volume, q, is a+be where a=0.2, b=0.1, and c=0.08 and q is measured in millions. The standard deviation of the price change per day is $0.1. what is the optimal strategy that maximises the %95 confidence level for the costs?

Select one:

a. VaR - $10.05

b. VaR - $9.90 

c. VaR = $15.72

d. VaR - $13.24

Option 1

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