420 citations
- Collegium BudapestHU15 papers
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q-fin.PM2010
Optimal Liquidation Strategies Regularize Portfolio Selection
Fabio Caccioli, Susanne Still, Matteo Marsili +1
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optim…
q-fin.PM2007★ 3 cited
Divergent estimation error in portfolio optimization and in linear regression
Imre Kondor, Istvan Varga-Haszonits
The problem of estimation error in portfolio optimization is discussed, in the limit where the portfolio size N and the sample size T go to infinity such that their ratio is fixed.…