public class OptimalTrajectoryNoDrift
extends java.lang.Object
OptimalTrajectoryNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the
Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, exclusive
of Drift. The Generation follows a Numerical Optimizer Scheme. 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.
- Almgren, R. (2003): Optimal Execution with Non-linear Impact Functions and Trading Enhanced Risk,
Applied Mathematical Finance, 10, 1-18.
- Artzner, P., F. Delbaen, J. M. Eber, and D. Heath (1999): Coherent Measures of Risk, Mathematical
Finance, 9, 203-228.
- Basak, S., and A. Shapiro (2001): Value-at-Risk Based Risk Management: Optimal Policies and Asset
Prices, Review of Financial Studies, 14, 371-405.
- Author:
- Lakshmi Krishnamurthy