Purpose – The purpose of this study is to develop a mathematical model that can be used to forecast the number of individuals who enter the library as well as the number of patrons that seek assistance at the reference desk of the library. An accurate estimate of demand at the reference desk...

This paper addresses the optimal rebalancing problem of a long-short portfolio with high net asset value under trading impact losses. The fund manager may employ leveraging as a tool to increase portfolio returns. However, to mitigate potential leverage risks, frequent rebalancing may become...

This paper addresses the optimal rebalancing problem of a long-short portfolio with high net asset value under trading impact losses. The fund manager may employ leveraging as a tool to increase portfolio returns. However, to mitigate potential leverage risks, frequent rebalancing may become...

We study the impact of liquidity in optimal portfolio choice under leveraging to improve risk-adjusted and absolute returns. We consider a quasi-elastic market with continuous trading where temporary liquidity costs are sufficiently large relative to permanent impact. We show analytically that...

I present a generalized benchmarking theory on portfolio selection relative to a market index. Using the bias-variance trade-off of the tracking error, analytical conditions are derived to describe when it is optimal for a portfolio of risky assets to follow the index, or align the portfolio...