Package org.drip.sample.almgrenchriss

Class EfficientFrontierWithDrift

java.lang.Object
org.drip.sample.almgrenchriss.EfficientFrontierWithDrift
public class EfficientFrontierWithDrift
extends java.lang.Object
EfficientFrontierWithDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters for Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000), and calculates the corresponding Execution Half Life and the Trajectory Penalty incorporating the Impact of Drift. 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
    EfficientFrontierWithDrift()  

  • Method Summary

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

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • EfficientFrontierWithDrift

      public EfficientFrontierWithDrift()

  • Method Details

    • main

      public static void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation