Nikolay Andreev

National Research University Higher School of Economics

Myasnitskaya street, 20

Moscow, Moscow 119017

Russia

SCHOLARLY PAPERS

3

DOWNLOADS

98

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

On Linearity of Transaction Costs in Order Driven Market

Higher School of Economics Research Paper No. WP BRP 38/FE/2014
Number of pages: 25 Posted: 23 Oct 2014 Last Revised: 17 Feb 2015
Nikolay Andreev
National Research University Higher School of Economics
Downloads 47 (398,735)

Abstract:

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transaction costs, limit order book, trading volume, market microstructure, market liquidity.

2.

Worst-Case Approach to Strategic Optimal Portfolio Selection Under Transaction Costs and Trading Limits

Higher School of Economics Research Paper No. WP BRP 45/FE/2015
Number of pages: 54 Posted: 20 May 2015 Last Revised: 10 Nov 2016
Nikolay Andreev
National Research University Higher School of Economics
Downloads 34 (449,352)

Abstract:

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portfolio selection, Bellman-Isaacs equation, stochastic dynamic programming, transaction costs, worst-case optimization

3.

Boundedness of the Value Function of the Worst-Case Portfolio Selection Problem with Linear Constraints

Higher School of Economics Research Paper No. WP BRP 59/FE/2017
Number of pages: 22 Posted: 25 Jan 2017
Nikolay Andreev
National Research University Higher School of Economics
Downloads 17 (539,945)

Abstract:

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portfolio selection, Bellman-Isaacs equation, stochastic dynamic programming, value function, worst-case optimization