cicyt UNIZAR

Portfolio Management

Authors and titles for recent submissions

[ total of 7 entries: 1-7 ]
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Tue, 20 Feb 2018

[1]  arXiv:1802.06386 [pdf, other]
Title: How local in time is the no-arbitrage property under capital gains taxes ?
Authors: Christoph Kühn
Comments: 25 pages
Subjects: Portfolio Management (q-fin.PM); Probability (math.PR); Mathematical Finance (q-fin.MF)
[2]  arXiv:1802.06120 [pdf, ps, other]
Title: Simple Bounds for Transaction Costs
Comments: 14 pages
Subjects: Portfolio Management (q-fin.PM); Optimization and Control (math.OC); Trading and Market Microstructure (q-fin.TR)

Thu, 15 Feb 2018

[3]  arXiv:1802.05264 [pdf]
Title: Stock Market Visualization
Comments: 103 pages; to appear in Journal of Risk & Control
Subjects: Portfolio Management (q-fin.PM); General Finance (q-fin.GN); Risk Management (q-fin.RM)

Mon, 12 Feb 2018

[4]  arXiv:1802.03376 [pdf, other]
Title: Visualizing Treasury Issuance Strategy
Subjects: Portfolio Management (q-fin.PM); Economics (q-fin.EC); General Finance (q-fin.GN); Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)
[5]  arXiv:1802.03322 [pdf, ps, other]
Title: Replica Approach for Minimal Investment Risk with Cost
Authors: Takashi Shinzato
Subjects: Portfolio Management (q-fin.PM); Disordered Systems and Neural Networks (cond-mat.dis-nn); Statistical Mechanics (cond-mat.stat-mech); Optimization and Control (math.OC); Risk Management (q-fin.RM)

Tue, 23 Jan 2018

[6]  arXiv:1801.06737 (cross-list from math.OC) [pdf, ps, other]
Title: At What Frequency Should the Kelly Bettor Bet?
Comments: To appear in Proceedings of the IEEE American Control Conference (ACC)
Subjects: Optimization and Control (math.OC); Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Portfolio Management (q-fin.PM)

Mon, 22 Jan 2018

[7]  arXiv:1801.06425 [pdf, ps, other]
Title: Ergodic robust maximization of asymptotic growth
Comments: 34 pages
Subjects: Portfolio Management (q-fin.PM); Probability (math.PR)
[ total of 7 entries: 1-7 ]
[ showing up to 25 entries per page: fewer | more ]

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