1 citations · 1 across the 6 of their papers we have counts for
5 papers · 1 filter
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…
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…
Discrete time portfolio optimisation managing value at risk under heavy tail return distribution
Subhojit Biswas, Diganta Mukherjee
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at…
Portfolio Optimization Managing Value at Risk under Heavy Tail Return, using Stochastic Maximum Principle
Subhojit Biswas, Mrinal K. Ghosh, Diganta Mukherjee
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to managing the…
A new integrated likelihood for estimating population size in dependent dual-record system
Kiranmoy Chatterjee, Diganta Mukherjee
Efficient estimation of population size from dependent dual-record system (DRS) remains a statistical challenge in capture-recapture type experiment. Owing to the nonidentifiabilit…