Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
We derive explicit recursive formulas for target close (TC) and implementation shortfall (IS) in the Almgren Chriss framework. We explain how to compute the optimal starting and stopping times for IS and...
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Best Solvency II software package: IBM (formerly Algorithmics)
Market sentiment could eventually be used as an input for risk and trading models, helping to predict future events, says John Macdonald of IBM Algorithmics
Smoothing the flow
Powering up the engine
Solvency II software package: Algorithmics
Algos patents operational risk capital modelling framework
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