… KOLM, PHD, is a graduate student in finance at the Yale School of Management and a
financial consultant in New York City. He previously worked at Goldman Sachs asset manage…

The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light of the …

… Kolm is a doctoral student in Finance at the School of Management, Yale University, and
a financial consultant in New York City. Previously, he worked in the Quantitative Strategies …

… Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the
essential elements of this discipline, including financial model building, financial engineering, …

… Petter Kolm Courant Institute, NYU petter.kolm@nyu.edu https://www.linkedin.com/in/petterkolm
Published in Kolm and Ritter (2019), “Dynamic Replication and Hedging: A …

We give an overview and outlook of the field of reinforcement learning as it applies to solving
financial applications of intertemporal choice. In finance, common problems of this kind …

IT IS ILLEGAL TO REPRODUCE THIS ARTICLE IN ANY FORMAT optimization (Best and
Grauer [1991],[1992]). The relative importance depends on the investor’s risk aversion, but as a …

We employ deep learning in forecasting high‐frequency returns at multiple horizons for 115
stocks traded on Nasdaq using order book information at the most granular level. While raw …

… To express this view, we let p = (p 1 , …, p n )′ denote the portfolio that is long one unit
of the DAX index and short a one-unit basket that holds each of the other major European …

… Although our simulation environment is similar to that of Kolm and Ritter (2019), who … ,
the price process is a GBM initialized as by Kolm and Ritter (2019), and we consider an …