The Pre-hedging
成果类型：
Article
署名作者：
Muhle-Karbe, Johannes; Oomen, Roel
署名单位：
Imperial College London; Deutsche Bank
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.2024.1011
发表日期：
2026
关键词：
摘要：
This paper studies a dealer that pre-hedges an anticipated potential trade, and we analyze how this affects the client's overall execution outcome. We show that prehedging can benefit both parties: Improved risk management over an extended horizon enables the dealer to charge reduced spreads that more than offset any adverse impact the pre-hedging activity has on the execution price. However, when a dealer pre-hedges too aggressively, this can be detrimental to the client. Timing uncertainty of the potential trade is an effective control held by the client to mitigate any counterproductive pre-hedging. Our results are robust to a setting where competing dealers simultaneously pre-hedge.