264 citations · 265 across the 3 of their papers we have counts for
3 papers
regularized portfolio optimization
Fabio Caccioli, Imre Kondor, Matteo Marsili +1
Investors who optimize their portfolios under any of the coherent risk measures are naturally led to regularized portfolio optimization when they take into account the impact their…
The thermodynamics of prediction
Susanne Still, David A. Sivak, Anthony J. Bell +1
A system responding to a stochastic driving signal can be interpreted as computing, by means of its dynamics, an implicit model of the environmental variables. The system's state r…
Optimal Liquidation Strategies Regularize Portfolio Selection
Fabio Caccioli, Susanne Still, Matteo Marsili +1
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optim…