2 papers
q-fin.TR2023
Liquidity Dynamics in RFQ Markets and Impact on Pricing
Philippe Bergault, Olivier Guéant
To assign a value to a portfolio, it is common to use Mark-to-Market prices. However, how should one proceed when the securities are illiquid? When transaction prices are scarce, h…
q-fin.PM2022
Risk Budgeting Portfolios: Existence and Computation
Adil Rengim Cetingoz, Jean-David Fermanian, Olivier Guéant
Modern portfolio theory has provided for decades the main framework for optimizing portfolios. Because of its sensitivity to small changes in input parameters, especially expected…