Package org.drip.execution.risk
Optimal Execution MVO Efficient Frontier
- Author:
- Lakshmi Krishnamurthy
-
Interface Summary Interface Description ObjectiveUtility ObjectiveUtility exposes the Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory. -
Class Summary Class Description MeanVarianceObjectiveUtility MeanVarianceObjectiveUtility implements the Mean-Variance Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory.PowerVarianceObjectiveUtility PowerVarianceObjectiveUtility implements the Mean-Power-Variance Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory.