Price impact is the key trading cost for large investors, such as large trend-following hedge funds.In this talk, we discuss how to determine optimal trading strategies explicitly in the limit for small impact costs.These results are derived in reduced-form models in the spirit of Almgren and Chriss. However, we show that the corresponding strategies are also asymptotically optimal for highly resilient block-shaped order books.
(This talk is based on joint work with H.M. Soner, L. Moreau, and J. Kallsen.)