16 citations · 25 across the 3 of their papers we have counts for
3 papers
math.PR2011★ 5 cited
Error distributions for random grid approximations of multidimensional stochastic integrals
Carl Lindberg, Holger Rootzén
This paper proves joint convergence of the approximation error for several stochastic integrals with respect to local Brownian semimartingales, for nonequidistant and random grids.…
q-fin.CP2010★ 16 cited
Optimal closing of a pair trade with a model containing jumps
Stig Larsson, Carl Lindberg, Marcus Warfheimer
A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Re…
math.ST2009★ 4 cited
Portfolio optimization when expected stock returns are determined by exposure to risk
Carl Lindberg
It is widely recognized that when classical optimal strategies are applied with parameters estimated from data, the resulting portfolio weights are remarkably volatile and unstable…