RT Journal Article
SR Electronic
T1 Where Risk Control Meets Cost Control in Analytics Development
JF The Journal of Investing
FD Institutional Investor Journals
SP 82
OP 87
DO 10.3905/joi.2004.434555
VO 13
IS 3
A1 Ian Domowitz
A1 John Krowas
YR 2004
UL https://pm-research.com/content/13/3/82.abstract
AB In a portfolio transition, cost-minimizing trading strategies may have the unintended consequence of increasing risk along several dimensions. On the other hand, strategies designed to mitigate risk can involve unacceptable levels of cost, may be sub-optimal once transaction costs are taken into account, or may simply be infeasible. We suggest that a structured program of measurement, analysis, and control in trading applications involves the convergence of execution tools and portfolio management analytics and techniques. This convergence is a natural result of balancing multiple objectives throughout the trading process.