org.drip.sample.principal

Class InformationRatioAnalysis

java.lang.Object

org.drip.sample.principal.InformationRatioAnalysis

public class InformationRatioAnalysis
extends java.lang.Object

InformationRatioAnalysis demonstrates the Analysis of the Dependence of the Optimal Principal Measures on the Information Ratio Hurdle. 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 Nonlinear Impact Functions and Trading-Enhanced Risk, Applied Mathematical Finance 10 (1) 1-18. - Almgren, R., and N. Chriss (2003): Bidding Principles, Risk 97-102. - Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact, Risk 18 (7) 57-62.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
InformationRatioAnalysis()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astrArgs)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

InformationRatioAnalysis

public InformationRatioAnalysis()

Method Detail

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception