Similar Search Results

A geometric approach to multiperiod mean variance optimization of assets and liabilities

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - In: Journal of economic dynamics & control 28 (2004) 6, pp. 1079-1113

Persistent link: https://www.econbiz.de/10001856096

Learning and asset prices under ambiguous information

Trojani, Fabio; Leippold, Markus; Vanini, Paolo - 2005

Persistent link: https://www.econbiz.de/10002771748

Subsampled factor models for asset pricing : the rise of Vasa

De Nard, Gianluca; Hediger, Simon; Leippold, Markus - In: Journal of forecasting 41 (2022) 6, pp. 1217-1247

Persistent link: https://www.econbiz.de/10013465694

Optimal Conic Execution Strategies with Stochastic Liquidity

Leippold, Markus - 2018

In this paper, we develop the conic finance framework for optimal execution of a large portfolio in an illiquid market. We extend the classical optimal execution results by considering stochastic exogenous liquidity effects as well as temporary price impact functions. We depart from the...

Persistent link: https://www.econbiz.de/10012927639