Package org.drip.execution.risk

Class MeanVarianceObjectiveUtility

java.lang.Object
org.drip.execution.risk.MeanVarianceObjectiveUtility
All Implemented Interfaces:
ObjectiveUtility
public class MeanVarianceObjectiveUtility
extends java.lang.Object
implements ObjectiveUtility
MeanVarianceObjectiveUtility implements the Mean-Variance Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory. 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

  • Constructor Summary

    Constructors
    Constructor Description
    MeanVarianceObjectiveUtility​(double dblRiskAversion)
    MeanVarianceObjectiveUtility Constructor

  • Method Summary

    Modifier and Type Method Description
    double riskAversion()
    Retrieve the Risk Aversion Parameter
    ControlNodesGreek sensitivity​(TrajectoryControlNodesGreek tcngExpectation, TrajectoryControlNodesGreek tcngVariance)
    Generate the Objective Function Sensitivity given the Expectation and the Variance Control Node Sensitivity

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • MeanVarianceObjectiveUtility

      public MeanVarianceObjectiveUtility​(double dblRiskAversion) throws java.lang.Exception
      MeanVarianceObjectiveUtility Constructor
      Parameters:
      dblRiskAversion - The Risk Aversion Parameter
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • riskAversion

      public double riskAversion()
      Retrieve the Risk Aversion Parameter
      Returns:
      The Risk Aversion Parameter

    • sensitivity

      public ControlNodesGreek sensitivity​(TrajectoryControlNodesGreek tcngExpectation, TrajectoryControlNodesGreek tcngVariance)
      Description copied from interface: ObjectiveUtility
      Generate the Objective Function Sensitivity given the Expectation and the Variance Control Node Sensitivity
      Specified by:
      sensitivity in interface ObjectiveUtility
      Parameters:
      tcngExpectation - The Control Node Trajectory Expectation Sensitivity
      tcngVariance - The Control Node Trajectory Variance Sensitivity
      Returns:
      The Control Node Trajectory Objective Function Sensitivity Sensitivity