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q-fin.PM2020
A Note on Portfolio Optimization with Quadratic Transaction Costs
Pierre Chen, Edmond Lezmi, Thierry Roncalli +1
In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more…
q-fin.PM2019★ 3 cited
Financial Applications of Gaussian Processes and Bayesian Optimization
Joan Gonzalvez, Edmond Lezmi, Thierry Roncalli +1
In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergon…