14 citations · 39 across the 16 of their papers we have counts for
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q-fin.TR2019
Singular Perturbation Expansion for Utility Maximization with Order- Quadratic Transaction Costs
Andrew Papanicolaou, Shiva Chandra
We present an expansion for portfolio optimization in the presence of small, instantaneous, quadratic transaction costs. Specifically, the magnitude of transaction costs has a coef…
q-fin.PM2019
Statistical Arbitrage for Multiple Co-Integrated Stocks
T. N. Li, A. Papanicolaou
In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being…