1 citations · 1 across the 9 of their papers we have counts for
Showing 2019 · q-fin.MFShow all
2 papers · 2 filters
q-fin.MF2019
Optimizing Execution Cost Using Stochastic Control
Akshay Bansal, Diganta Mukherjee
We devise an optimal allocation strategy for the execution of a predefined number of stocks in a given time frame using the technique of discrete-time Stochastic Control Theory for…
q-fin.MF2019
A Proposal for Multi-asset Generalised Variance Swaps
Subhojit Biswas, Diganta Mukherjee
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price…