Summary: July 15, 2004 SIAM Portland
Portfolio
Optimization
Without Forecasts
Portfolio
Optimization
Without Forecasts
Robert Almgren
University of Toronto
Joint work with Neil Chriss, SAC Capit
July 15, 2004 SIAM Portland
Finance has good math problemFinance has good math problem
· Important--come from real challenges
· Messy--math should be simple but goo
· Much more than option pricing.
July 15, 2004 SIAM Portland
Earlier exampleEarlier example
Joint work with Neil Chriss 1997
Problem from Morgan Stanley program tra
Liquidate large investment, minimizing ma

Source: Almgren, Robert F. - Courant Institute of Mathematical Sciences, New York University

Collections: Mathematics