Suchergebnisse

Do You Really Know Your P&L? The Importance of Impact-Adjusting the P&L

Mean-Variance Optimization for Simulation of Order Flow

In: Kolm, Petter N. and Westray, Nicholas, Mean-Variance Optimization for Simulation of Order Flow (May, 2022). The Journal of Portfolio Management, to Appear, 2022

Systematic Pricing and Trading of Municipal Bonds

In: The Journal of Financial Data Science 4.1 (2022). © [2022] PMR. All rights reserved.

Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away

In: Grealish, Adam and Kolm, Petter N., 'Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away.' The Journal of Wealth Management 24.3 (2021). © [2021] PMR. All rights reserved.

Factor Investing with Black-Litterman-Bayes: Incorporating Factor Views and Priors in Portfolio Construction

In: The Journal of Portfolio Management, Special Issue on Factor Investing, 2021

Alternative Data in Investment Management: Usage, Challenges and Valuation

In: Ekster, Gene and Kolm, Petter N., 'Alternative Data in Investment Management: Usage, Challenges and Valuation.' The Journal of Financial Data Science 3.4 (2021). © [2021] PMR. All rights reserved.

Modern Perspectives on Reinforcement Learning in Finance

In: The Journal of Machine Learning in Finance, Band 1, Heft 1

Dynamic Replication and Hedging: A Reinforcement Learning Approach

In: Kolm, Petter N. and Gordon Ritter. "Dynamic Replication and Hedging: A Reinforcement Learning Approach." The Journal of Financial Data Science 1.1 (2019).

Multiperiod Portfolio Selection and Bayesian Dynamic Models

In: Risk, Band 28, Heft 3, S. 50-54

Untangling Universality and Dispelling Myths in Mean-Variance Optimization

Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book

Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

In: Nystrup, Peter, Kolm, Petter N. and Lindstrom, Erik, "Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features." The Journal of Financial Data Science 2.3 (2020).

What Drives Cryptocurrency Returns? A Sparse Statistical Jump Model Approach

Quantitative equity investing: techniques and strategies

In: The Frank J. Fabozzi series

Incorporating Trading Strategies in the Black-Litterman Framework

In: The journal of trading: JOT, Band 1, Heft 2, S. 28-37

ISSN: 1559-3967