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pro vyhledávání: '"Picard, Tom"'
Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach
This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs. Many methods have been proposed these last years to challenge the famous uni-period Markowitz strategy.But these methods cannot integrate transacti
Externí odkaz:
http://arxiv.org/abs/2305.16152
Publikováno v:
International Journal of Theoretical and Applied Finance, In press
Analyzing the effect of business cycle on rating transitions has been a subject of great interest these last fifteen years, particularly due to the increasing pressure coming from regulators for stress testing. In this paper, we consider that the dyn
Externí odkaz:
http://arxiv.org/abs/2109.10567
Autor:
Picard, Tom
This Document is a Master Thesis report as part of the cycle of the ENSIMAG and KTH engineer. The internship linked to this report took place at Nexialog Consulting, Paris.This document deals with the inference and filtration by a counting process o
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-256051
Publikováno v:
International Journal of Theoretical and Applied Finance
International Journal of Theoretical and Applied Finance, In press
International Journal of Theoretical and Applied Finance, In press
International audience; Analyzing the effect of business cycle on rating transitions has been a subject of great interest these last fifteen years, particularly due to the increasing pressure coming from regulators for stress testing. In this paper,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7b6126857678b476d12b6d25e5b0a091
https://hal.science/hal-03347521
https://hal.science/hal-03347521
Autor:
Picard, Tom
This Document is a Master Thesis report as part of the cycle of the ENSIMAG and KTH engineer. The internship linked to this report took place at Nexialog Consulting, Paris.This document deals with the inference and filtration by a counting process o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::ddb72a16da9a09f300e751d4e2981324
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-256051
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-256051