Uses of Package
org.drip.execution.risk
| Package | Description |
|---|---|
| org.drip.execution.adaptive |
Coordinated Variation Based Adaptive Execution
|
| org.drip.execution.nonadaptive |
Almgren-Chriss Static Optimal Trajectory
|
| org.drip.execution.risk |
Optimal Execution MVO Efficient Frontier
|
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Classes in org.drip.execution.risk used by org.drip.execution.adaptive Class Description MeanVarianceObjectiveUtility MeanVarianceObjectiveUtility implements the Mean-Variance Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory. -
Classes in org.drip.execution.risk used by org.drip.execution.nonadaptive Class Description MeanVarianceObjectiveUtility MeanVarianceObjectiveUtility implements the Mean-Variance Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory.ObjectiveUtility ObjectiveUtility exposes the Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory. -
Classes in org.drip.execution.risk used by org.drip.execution.risk Class Description ObjectiveUtility ObjectiveUtility exposes the 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.