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 + becq 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 minimizes the 95% confidence level for the costs?

AppendixLO1