2 papers
q-fin.PM2016
LQG for portfolio optimization
M. Abeille, E. Serie, A. Lazaric +1
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the p…
q-fin.TR2014
Slow decay of impact in equity markets
X. Brokmann, E. Serie, J. Kockelkoren +1
Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictab…