org.drip.execution.risk

Interface ObjectiveUtility

All Known Implementing Classes:

MeanVarianceObjectiveUtility, PowerVarianceObjectiveUtility

public interface ObjectiveUtility

ObjectiveUtility exposes the 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

Method Summary

Modifier and Type	Method and Description
ControlNodesGreek	sensitivity(TrajectoryControlNodesGreek tcngExpectation, TrajectoryControlNodesGreek tcngVariance) Generate the Objective Function Sensitivity given the Expectation and the Variance Control Node Sensitivity

Method Detail

sensitivity

ControlNodesGreek sensitivity(TrajectoryControlNodesGreek tcngExpectation,
                              TrajectoryControlNodesGreek tcngVariance)

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

Parameters:

tcngExpectation - The Control Node Trajectory Expectation Sensitivity

tcngVariance - The Control Node Trajectory Variance Sensitivity

Returns:

The Control Node Trajectory Objective Function Sensitivity Sensitivity