Abstract
Execution uncertainty can disrupt portfolio balance; for example, dark pool orders for some assets in the portfolio are executed while others are not. To alleviate this problem, we consider a conditional dark pool order in a discrete model of the optimal portfolio execution strategy. Conditional dark pool orders allow an investor to submit a portfolio that will be executed only if the condition that all assets in the portfolio are executable is met. Additionally, dark pools are trading systems established for large transactions. We provide new insight into the puzzle of small average dark pool order size through portfolio balance.
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