Package org.drip.sample.lvar

Class OptimalTrajectoryNoDrift

java.lang.Object
org.drip.sample.lvar.OptimalTrajectoryNoDrift
public class OptimalTrajectoryNoDrift
extends java.lang.Object
OptimalTrajectoryNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, exclusive of Drift. The Generation follows a Numerical Optimizer Scheme. 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
  • Almgren, R. (2003): Optimal Execution with Non-linear Impact Functions and Trading Enhanced Risk Applied Mathematical Finance 10 1-18
  • Artzner, P., F. Delbaen, J. M. Eber, and D. Heath (1999): Coherent Measures of Risk Mathematical Finance 9 203-228
  • Basak, S., and A. Shapiro (2001): Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices Review of Financial Studies 14 371-405




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    OptimalTrajectoryNoDrift()  

  • 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

    • OptimalTrajectoryNoDrift

      public OptimalTrajectoryNoDrift()

  • 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