7 citations · 7 across the 1 of their papers we have counts for
2 papers
q-fin.PM2007★ 7 cited
Correlated multi-asset portfolio optimisation with transaction cost
Siu Lung Law, Chiu Fan Lee, Sam Howison +1
We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading me…
physics.soc-ph2005
What shakes the FX tree? Understanding currency dominance, dependence and dynamics
Neil F. Johnson, Mark McDonald, Omer Suleman +2
There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dolla…