The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light of the …

We give an overview and outlook of the field of reinforcement learning as it applies to solving
financial applications of intertemporal choice. In finance, common problems of this kind …

A comprehensive look at the tools and techniques used in quantitative equity management
Some books attempt to extend portfolio theory, but the real issue today relates to the practical …

Praise for Robust Portfolio Optimization and Management" In the half century since Harry
Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have …

◮ More recently, several studies have considered option pricing and hedging subject to
both permanent and temporary market impact in the spirit of Almgren and Chriss (1999), …

An inside look at modern approaches to modeling equity portfolios Financial Modeling of
the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. …

IT IS ILLEGAL TO REPRODUCE THIS ARTICLE IN ANY FORMAT optimization (Best and
Grauer [1991],[1992]). The relative importance depends on the investor’s risk aversion, but as a …

We employ deep learning in forecasting high‐frequency returns at multiple horizons for 115
stocks traded on Nasdaq using order book information at the most granular level. While raw …

The Black–Litterman model is one of the most popular models in quantitative finance, with
numerous theoretical and practical achievements. From the standpoint of investment theory, …

The authors propose models for the solution of the fundamental problem of option replication
subject to discrete trading, round lotting, and nonlinear transaction costs using state-of-the-…