public class TrajectoryComparisonNoDrift
extends java.lang.Object
TrajectoryComparisonNoDrift compares different Optimal Trading Trajectories computed in accordance with
the Specification of Almgren and Chriss (2000) for a Set of Risk Aversion Parameters, excluding 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