We address three key aspects of optimal portfolio construction: expected return, variance-covariance modeling and optimization in presence of cardinality constr

The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from othe

The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by

The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time an

With the aim to sequentially determine optimal allocations across a set of assets, Online Portfolio Selection (OLPS) has significantly reshaped the financial in