org.drip.execution.risk

Class MeanVarianceObjectiveUtility

java.lang.Object

org.drip.execution.risk.MeanVarianceObjectiveUtility

All Implemented Interfaces:

ObjectiveUtility

public class MeanVarianceObjectiveUtility
extends java.lang.Object
implements ObjectiveUtility

MeanVarianceObjectiveUtility implements the Mean-Variance Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory. The References are: - Almgren, R., and N. Chriss (1999): Value under Liquidation, Risk 12 (12). - Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3 (2) 5-39. - Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets, 1, 1-50. - Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades, Journal of Finance, 50, 1147-1174. - Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades, Journal of Financial Economics, 46, 265-292.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
MeanVarianceObjectiveUtility(double dblRiskAversion) MeanVarianceObjectiveUtility Constructor

Method Summary

Modifier and Type	Method and Description
double	riskAversion() Retrieve the Risk Aversion Parameter
ControlNodesGreek	sensitivity(TrajectoryControlNodesGreek tcngExpectation, TrajectoryControlNodesGreek tcngVariance) Generate the Objective Function Sensitivity given the Expectation and the Variance Control Node Sensitivity

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MeanVarianceObjectiveUtility

public MeanVarianceObjectiveUtility(double dblRiskAversion)
                             throws java.lang.Exception

MeanVarianceObjectiveUtility Constructor

Parameters:

dblRiskAversion - The Risk Aversion Parameter

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

riskAversion

public double riskAversion()

Retrieve the Risk Aversion Parameter

Returns:

The Risk Aversion Parameter

sensitivity

public ControlNodesGreek sensitivity(TrajectoryControlNodesGreek tcngExpectation,
                                     TrajectoryControlNodesGreek tcngVariance)

Description copied from interface: ObjectiveUtility

Generate the Objective Function Sensitivity given the Expectation and the Variance Control Node Sensitivity

Specified by:

sensitivity in interface ObjectiveUtility

Parameters:

tcngExpectation - The Control Node Trajectory Expectation Sensitivity

tcngVariance - The Control Node Trajectory Variance Sensitivity

Returns:

The Control Node Trajectory Objective Function Sensitivity Sensitivity