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q-fin.PM2019★ 1 cited
Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach
Roberto Baviera, Giulia Bianchi
In this paper we consider the worst-case model risk approach described in Glasserman and Xu (2014). Portfolio selection with model risk can be a challenging operational research pr…
q-fin.PM2017
Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market
Roberto Baviera, Tommaso Santagostino Baldi
In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-r…