trading optimization

i've been thinking about how to optimize trades for some algorithmic trading. i need to define objective functions, obviously, but how exactly? risk vs. return, but risk (for a liquid asset) depends on a portfolio state between transactions, and returns are realized upon the transaction. it just occurred to me that i can reduce it to simple shift and scaling operations on a (somewhat unknown) pdf. if i have a certain unhedged amount, x, of a risky asset, and i buy or sell to end up with a*x, then that scales the pdf f(x) to f(a*x)/a. the trade should give me a return, r, so the pdf of my total return after the trade would be something like f(a*x-r)/a. so i know what the shift and the scale are, even though i don't exactly know what f(x) is. now it's a question of whether f(a*x-r)/a is better than f(x), and i trade if it is (i.e., maximize whatever metrics to find the optimal r,a). does this answer the question of how to place limit orders away from the market prices? i'm not sure yet.