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19992026
most citedEmpirical risk minimization for heavy-tailed losses

61 citations

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cond-mat.dis-nn1999

Transaction costs: a new point of view

R. Baviera

We consider a new approach to portfolio selection in presence of transaction costs which allows to map the problem into one without costs. The proposed approach connects all the qu…

cond-mat.stat-mech1999★ 13 cited

Markovian approximation in foreign exchange markets

R. Baviera, D. Vergni, A. Vulpiani

In this paper we test the random walk hypothesis on the high frequency dataset of the bid--ask Deutschemark/US dollar exchange rate quotes registered by the inter-bank Reuters netw…