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05/18/2021
Liquidity Stress Testing in Asset Management – Part 2. Modeling the Asset Liquidity Risk
This article is part of a comprehensive research project on liquidity ri...
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01/06/2021
Liquidity Stress Testing in Asset Management – Part 1. Modeling the Liability Liquidity Risk
This article is part of a comprehensive research project on liquidity ri...
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07/09/2020
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks
This article explores the use of machine learning models to build a mark...
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01/06/2020
A Note on Portfolio Optimization with Quadratic Transaction Costs
In this short note, we consider mean-variance optimized portfolios with ...
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09/23/2019
Machine Learning Optimization Algorithms & Portfolio Allocation
Portfolio optimization emerged with the seminal paper of Markowitz (1952...
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03/12/2019