Adaptive Monte Carlo Maximum Likelihood ⬇️

article by Błażej Miasojedow et al published 28 June 2015 in Studies in Computational Intelligence

Arbitrage and pricing in a general model with flows

scientific article published in 2003

Bayesian calibration and number of jump components in electricity spot price models ⬇️

Black–Litterman model for continuous distributions ⬇️

Comparison of the Predictive Performance and Interpretability of Random Forest and Linear Models on Benchmark Data Sets ⬇️

scientific article published on 17 July 2017

Dynamic portfolio optimization with transaction costs and state-dependent drift ⬇️

Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay ⬇️

Fragmentation and stability of markets ⬇️

From discrete to continuous time evolutionary finance models ⬇️

Growth-optimal portfolios under transaction costs ⬇️

Impulse Control Maximizing Average Cost per Unit Time: A Nonuniformly Ergodic Case ⬇️

Impulsive Control of Portfolios ⬇️

Infinite horizon stopping problems with (nearly) total reward criteria ⬇️

article published in 2014

Interpreting Random Forest Classification Models Using a Feature Contribution Method ⬇️

Interpreting random forest models using a feature contribution method ⬇️

Investment strategies and compensation of a mean–variance optimizing fund manager ⬇️

Itchy feet vs cool heads: Flow of funds in an agent-based financial market ⬇️

scholarly article by Jan Palczewski et al published February 2016 in Journal of Economic Dynamics and Control

Market selection of constant proportions investment strategies in continuous time ⬇️

Maximization of the portfolio growth rate under fixed and proportional transaction costs ⬇️

Real option valuation for reserve capacity ⬇️

Stopping of functionals with discontinuity at the boundary of an open set ⬇️

Theoretical and empirical estimates of mean–variance portfolio sensitivity ⬇️

article