Package org.drip.sample.almgrenchriss

Class OptimalTrajectoryWithDrift

java.lang.Object
org.drip.sample.almgrenchriss.OptimalTrajectoryWithDrift
public class OptimalTrajectoryWithDrift
extends java.lang.Object
OptimalTrajectoryWithDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter inclusive of the Asset 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
    OptimalTrajectoryWithDrift()  

  • 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

    • OptimalTrajectoryWithDrift

      public OptimalTrajectoryWithDrift()

  • 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