We consider the execution of portfolio transactions with the aim of minimizing a combination
of volatility risk and transaction costs arising from permanent and temporary market impact. …

This classic monograph provides an overview of modern advances in representation theory
from a geometric standpoint. A geometrically-oriented treatment of the subject is very timely …

We consider the problem of portfolio liquidation with the aim of minimizing a combination of
volatility risk and transaction costs arising from permanent and temporary market impact. For …

Publisher Summary This chapter illustrates a method for portfolio optimization based on
replacing expected returns with sorting criteria. The method is based on information about the …

Volatility swaps are swaps for which one counterparty agrees to the other a notional amount
times the difference between a fixed level and a floating level of volatility. The fixed level is …

Let G be a split connected reductive algebraic group over a nonarchimedean local field F of
characteristic 0 with ring of integers O, absolute value|·|, and uniformizer π. Let S (G) be the …

… Chriss, Neil … 責任表示 Neil A. Chriss …

… Neil Chriss …

Modern portfolio theory produces an optimal portfolio from estimates of expected returns
and a covariance matrix. We present a method for portfolio optimization based on replacing …

This paper concerns constructing the Iwahori-Hecke algebra for certain p-adic groups. It can
be regarded as a natural extension of the ideas laid down in [KL2]; the objective (and …