Gordon Ritter

New York University (NYU) - Courant Institute of Mathematical Sciences

Adjunct Professor

New York University

251 Mercer Street

New York, NY 10012

United States

City University of New York (CUNY) - Weissman School of Arts and Sciences

One Bernard Baruch Way

New York, NY 10010

United States

Columbia University - Department of Mathematics

New York, NY

United States

University of Chicago - Department of Mathematics

5734 S. University

Chicago, IL 60637

United States

Columbia University - School of Professional Studies

203 Lewisohn Hall

2970 Broadway, MC 4119

New York, NY 10027

United States

SCHOLARLY PAPERS

13

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Top 2,245

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26,434

SSRN CITATIONS
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SSRN RANKINGS

Top 29,980

in Total Papers Citations

24

CROSSREF CITATIONS

13

Scholarly Papers (13)

1.

Machine Learning for Trading

Number of pages: 19 Posted: 14 Aug 2017 Last Revised: 04 Dec 2017
Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 14,414 (557)
Citation 22

Abstract:

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Finance, Investment Analysis, Machine Learning, Portfolio Optimization

2.

Modern Perspectives on Reinforcement Learning in Finance

Number of pages: 28 Posted: 16 Sep 2019 Last Revised: 08 Mar 2024
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 4,915 (3,562)
Citation 27

Abstract:

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Dynamic programming, Finance, Hedging, Intertemporal choice; Investment analysis, Machine learning, Optimal control, Options, Portfolio optimization, Reinforcement learning

3.

Multiperiod Portfolio Selection and Bayesian Dynamic Models

Risk, Vol. 28, Issue 3, p 50-54, March 2015
Number of pages: 8 Posted: 28 Jul 2014 Last Revised: 16 Mar 2021
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 2,711 (9,419)
Citation 5

Abstract:

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Portfolio optimization, Transaction costs, Bayesian statistics, Markov models

4.

On the Bayesian Interpretation of Black-Litterman

European Journal of Operational Research, Volume 258, Issue 2, 16 April 2017, Pages 564-572
Number of pages: 22 Posted: 17 Oct 2016 Last Revised: 01 Dec 2017
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 1,497 (24,007)
Citation 6

Abstract:

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Black-Litterman, Portfolio Optimization, APT, Bayesian statistics

5.

Optimal Turnover, Liquidity, and Autocorrelation

Number of pages: 11 Posted: 03 Feb 2022
Gordon Ritter, Bastien Baldacci and Elie Benveniste
New York University (NYU) - Courant Institute of Mathematical Sciences, affiliation not provided to SSRN and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 857 (53,465)

Abstract:

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Portfolio Choice; Investment Decisions; Trading; Optimization Techniques

6.

Optimal Microstructure Trading with a Long-Term Utility Function

Number of pages: 26 Posted: 24 Oct 2017 Last Revised: 03 Dec 2017
Elie Benveniste and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 819 (56,737)
Citation 1

Abstract:

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Finance, Investment Analysis, Optimal Execution, Market Microstructure

7.

Stable Linear-Time Optimization in Arbitrage Pricing Theory Models

Risk Magazine, 2016
Number of pages: 9 Posted: 12 Aug 2016
Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 813 (57,252)
Citation 1

Abstract:

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Portfolio Optimization

8.

A New Copula for Modeling Tail Dependence

Number of pages: 29 Posted: 26 Aug 2010 Last Revised: 15 Nov 2010
Jeff Holman and Gordon Ritter
affiliation not provided to SSRN and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 408 (135,195)

Abstract:

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9.

Untangling Universality and Dispelling Myths in Mean-Variance Optimization

Posted: 03 Apr 2024 Last Revised: 13 May 2024
Elie Benveniste, Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

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Investment management, Mean-variance optimization, Mean-variance equivalent distributions, Portfolio optimization, Portfolio theory, Robust portfolio management, Trading, Universality

10.

Black-Litterman and Beyond: The Bayesian Paradigm in Investment Management

The Journal of Portfolio Management, to appear, 2021.
Posted: 09 Mar 2021
Petter N. Kolm, Gordon Ritter and Joseph Simonian
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Courant Institute of Mathematical Sciences and Natixis Investment Managers, L.P.

Abstract:

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Bayesian statistics, Black-Litterman, Factor investing, Investment management, Portfolio optimization, Portfolio theory, Risk premia, Robust portfolio management, Trading, Transaction costs, Views

11.

Factor Investing with Black-Litterman-Bayes: Incorporating Factor Views and Priors in Portfolio Construction

The Journal of Portfolio Management, Special Issue on Factor Investing, 2021
Posted: 03 Feb 2021
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

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Factor investing, Investment analysis, Bayesian statistics, Black-Litterman, Portfolio optimization, Portfolio theory, Risk premia

12.

Deep Reinforcement Learning for Option Replication and Hedging

Jiayi Du, Muyang Jin, Petter N. Kolm, Gordon Ritter, Yixuan Wang and Bofei Zhang, 'Deep Reinforcement Learning for Option Replication and Hedging.' The Journal of Financial Data Science 2.4 (2020).
Posted: 21 Oct 2020
New York University (NYU) - Center for Data Science, New York University (NYU) - Center for Data Science, New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Center for Data Science and New York University (NYU) - Center for Data Science

Abstract:

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Financial Machine Learning, Hedging, Deep Q-learning, Deep Reinforcement Learning, Deep Neural Networks, Option Replication, Proximal Policy Optimization

13.

Dynamic Replication and Hedging: A Reinforcement Learning Approach

Kolm, Petter N. and Gordon Ritter. "Dynamic Replication and Hedging: A Reinforcement Learning Approach." The Journal of Financial Data Science 1.1 (2019).
Posted: 05 Dec 2018 Last Revised: 16 Mar 2021
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

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Finance; Hedging; Investment analysis; Machine learning; Optimal control; Options; Portfolio optimization; Reinforcement learning