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At 9 : 0 0 am 1 0 th March 2 0 2 4 , your brokerage company receives an order from a client. This
At : am th March your brokerage company receives an order from a client. This client want to buy a shares in Pear Inc PEAR and plans to hold these shares for months until th June The midprice of PEAR is $ when you receive the order, and the client expects its midprice to be $ on th June In this illiquid market for PEAR shares, your company can only fulfill of the total order size by th March with an average price of $
Calculate the execution cost, opportunity cost and implementation shortfall.
Let th March be the date at which the buy order begins to be executed, at the midprice of $ Calculate the delay portion of the execution component of the implementation shortfall.
Consider another scenario where your company can fulfill of the total order size by th March at an average price of $ And another scenario where your company can fulfil of the total order size at an average price of $ Compare the implementation shortfalls in these three scenarios.
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