SIAM Journal on Financial Mathematics, Volume 11, Issue 3, Page 690-719, January 2020.
We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker considers trading in a currency triplet which consists of the illiquid pair and two other liquid currency pairs. The liquid pairs in the triplet are chosen so that one of the pairs is redundant. The broker is risk-neutral and accounts for model ambiguity in the FX rates to make her strategy robust to model misspecification. When the broker is ambiguity neutral (averse) the trading strategy in each pair is independent (dependent) of the inventory in the other two pairs in the triplet. We employ simulations to illustrate how the robust strategies perform. For a range of ambiguity aversion parameters, we find the mean profit and loss (P&L) of the strategy increases and the standard deviation of the P&L decreases as ambiguity aversion increases.

中文翻译：

---

交易外汇三元组

SIAM金融数学杂志，第11卷，第3期，第690-719页，2020年1月。
我们为必须清算非流动货币对中大量头寸的外汇（FX）经纪人制定了最佳交易策略。为了使收入最大化，经纪人考虑使用三元货币进行交易，该货币由非流动货币对和另外两个流动货币对组成。选择三元组中的液体对，以便其中一对是多余的。经纪人是风险中立的，并考虑了外汇汇率中的模型歧义性，以使她的策略对模型错误指定具有鲁棒性。当经纪商对歧义保持中立（厌恶）时，每对交易策略都独立于（依赖于）三元组中其他两对交易中的库存。我们使用模拟来说明鲁棒策略如何执行。对于一系列歧义厌恶参数，我们找到了平均损益（P＆