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Hedging without sweat : a genetic programming approach
(Working paper;2013:5, Working paper, 2013)
Hedging in the presence of transaction costs leads to complex op- timization problems. These problems typically lack closed-form so- lutions, and their implementation relies on numerical methods that provide hedging ...
Dynamic portfolio optimization with transaction costs and state-dependent drift
(Working paper;2014:1, Working paper, 2014)
We present an efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or ...
Fragmentation and stability of markets
(Working paper;2013:7, Working paper, 2013-07)
Trading skills are highly rewarded in practice but largely ignored in theoretical models of financial markets. This paper demonstrates the importance of skills by exploring their interaction with market fragmentation and ...
Hedging without sweat: a genetic programming approach
(Journal article; Peer reviewed, 2013-06-26)
Hedging in the presence of transaction costs leads to complex optimization problems. These problems typically lack closed-form solutions, and their implementation relies on numerical methods that provide hedging strategies ...