public class OptimalTrajectoryWithDrift
extends java.lang.Object
OptimalTrajectoryWithDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with
the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter inclusive of the
Asset 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