Ctr for Quanti Fin & Invest Strategies

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Research Output 2016 2019

Invariance principle for biased bootstrap random walks

Collevecchio, A., Hamza, K. & Liu, Y., Mar 2019, In : Stochastic Processes and their Applications. 129, 3, p. 860-877 18 p.

Research output: Contribution to journalArticleResearchpeer-review

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

Bel Hadj Ayed, A., Loeper, G. & Abergel, F., 7 Jun 2018, (Accepted/In press) 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., 1 Jan 2018, (Accepted/In press) In : Quantitative Finance. 14 p.

Research output: Contribution to journalArticleResearchpeer-review

Press / Media