1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.OC2022★ 1 cited
Strategic Asset Allocation with Illiquid Alternatives
Eric Luxenberg, Stephen Boyd, Mykel Kochenderfer +6
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiqu…
math.ST2012
Drift in Transaction-Level Asset Price Models
Wen Cao, Clifford Hurvich, Philippe Soulier
We study the effect of drift in pure-jump transaction-level models for asset prices in continuous time, driven by point processes. The drift is as-sumed to arise from a nonzero mea…