Centre for Quantitative Finance and Investment Strategies

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Projects

Research Output

A deterministic walk on the randomly oriented Manhattan lattice

Collevecchio, A., Hamza, K. & Tournier, L., 1 Jan 2019, In : Electronic Journal of Probability. 24, 20 p., 137.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

Challenging the robustness of optimal portfolio investment with moving average-based strategies

Bel Hadj Ayed, A., Loeper, G. & Abergel, F., 2019, In : Quantitative Finance. 19, 1, p. 123–135 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

Zhang, R., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. & Hamza, K., 2019, In : Quantitative Finance. 19, 3, p. 519-532 14 p.

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)

Press / Media

Alessio Figalli's Fields Medal and Optimal Transport

Gregoire Loeper

28/08/18

1 Media contribution

Press/Media: Expert Comment