public class EfficientFrontierNoDrift
extends java.lang.Object
EfficientFrontierNoDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters for
Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000),
and calculates the corresponding Execution Half Life and the Trajectory Penalty without regard to the
Drift. 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