[PDF][PDF] Active portfolio management
RC Grinold, RN Kahn - 2000 - academia.edu
Why a second edition? Why take time from busy lives? Why devote the energy to improving
an existing text rather than writing an entirely new one? Why toy with success? The short …
an existing text rather than writing an entirely new one? Why toy with success? The short …
Optimal control of execution costs
D Bertsimas, AW Lo - Journal of financial markets, 1998 - Elsevier
We derive dynamic optimal trading strategies that minimize the expected cost of trading a
large block of equity over a fixed time horizon. Specifically, given a fixed block S̄ of shares …
large block of equity over a fixed time horizon. Specifically, given a fixed block S̄ of shares …
[BOOK][B] High-frequency trading: a practical guide to algorithmic strategies and trading systems
I Aldridge - 2013 - books.google.com
A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …
trading is a difficult, but profitable, endeavor that can generate stable profits in various …
Optimal execution with nonlinear impact functions and trading-enhanced risk
RF Almgren - Applied mathematical finance, 2003 - Taylor & Francis
Optimal trading strategies are determined for liquidation of a large single-asset portfolio to
minimize a combination of volatility risk and market impact costs. The market impact cost per …
minimize a combination of volatility risk and market impact costs. The market impact cost per …
The cost of institutional equity trades
DB Keim, A Madhavan - Financial Analysts Journal, 1998 - Taylor & Francis
Presented are an overview of the findings from the recent literature on the cost of US equity
trades for institutional investors and new evidence on trading costs from a large sample of …
trades for institutional investors and new evidence on trading costs from a large sample of …
Systemic risk and hedge funds
N Chan, M Getmansky Sherman, SM Haas, AW Lo - 2005 - nber.org
Systemic risk is commonly used to describe the possibility of a series of correlated defaults
among financial institutions---typically banks---that occur over a short period of time, often …
among financial institutions---typically banks---that occur over a short period of time, often …
[BOOK][B] Hedge funds: An analytic perspective
AW Lo - 2010 - degruyter.com
The hedge fund industry has grown dramatically over the last two decades, with more than
eight thousand funds now controlling close to two trillion dollars. Originally intended for the …
eight thousand funds now controlling close to two trillion dollars. Originally intended for the …
[BOOK][B] The science of algorithmic trading and portfolio management
R Kissell - 2013 - books.google.com
The Science of Algorithmic Trading and Portfolio Management, with its emphasis on
algorithmic trading processes and current trading models, sits apart from others of its kind …
algorithmic trading processes and current trading models, sits apart from others of its kind …
It'S 11 Pm—Do You Know Where Your Liquidity Is?: The Mean–Variance–Liquidity Frontier
AW Lo, C Petrov, M Wierzbicki - The world of risk management, 2006 - World Scientific
We introduce liquidity into the standard mean–variance portfolio optimization framework by
defining several measures of liquidity and then constructing three-dimensional mean …
defining several measures of liquidity and then constructing three-dimensional mean …
Moderating influence of advisor personality on the association between financial advice and investor stock trading behavior
Moderating influence of advisor personality on the association between financial advice and
investor stock trading behavior | Emerald Insight Books and journals Case studies Expert …
investor stock trading behavior | Emerald Insight Books and journals Case studies Expert …