All Known Implementing Classes:: MeanVarianceObjectiveUtility, PowerVarianceObjectiveUtility

public interface ObjectiveUtility

ObjectiveUtility exposes the 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

Module = Product Core Module
Library = Transaction Cost Analytics
Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
Package = Optimal Execution MVO Efficient Frontier

Method Summary

Modifier and Type	Method	Description
`ControlNodesGreek`	`sensitivity(TrajectoryControlNodesGreek tcngExpectation, TrajectoryControlNodesGreek tcngVariance)`	Generate the Objective Function Sensitivity given the Expectation and the Variance Control Node Sensitivity

Interface ObjectiveUtility