Simon Myrgren

State Street Associates

138 Mount Auburn Street

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 26,530

in Total Papers Downloads

1,719

CITATIONS

2

Scholarly Papers (3)

1.

Portfolio Rebalancing: A Test of the Markowitz-Van Dijk Heuristic

MIT Sloan Research Paper No. 4641-07
Number of pages: 23 Posted: 31 Mar 2007
Mark Kritzman, Simon Myrgren and Sebastien Page
Massachusetts Institute of Technology (MIT) - Sloan School of Management, State Street Associates and State Street Associates
Downloads 1,499 (11,434)

Abstract:

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finance, portfolio: optimal rebalancing with transaction costs

2.

Countries Versus Industries in Europe: A Normative Portfolio Approach

Number of pages: 25 Posted: 23 Feb 2005
IESE Business School, Windham Capital Management, State Street Associates and State Street Associates
Downloads 220 (136,998)
Citation 2

Abstract:

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Portfolio management, Country versus industries, Europe

3.

Optimal Rebalancing: A Scalable Solution

Journal Of Investment Management (JOIM), First Quarter 2009
Posted: 11 Feb 2009 Last Revised: 09 Jul 2010
Mark Kritzman, Simon Myrgren and Sebastien Page
Windham Capital Management, State Street Associates and State Street Associates

Abstract:

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Optimal Rebalancing, Multi-Period Optimization, Dynamic Programming