Robert Almgren

University of Toronto - Department of Mathematics

Associate Professor of Mathematics and Computer Science

Toronto, Ontario M5S 3G3

Canada

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 7,197

SSRN RANKINGS

Top 7,197

in Total Papers Downloads

5,116

CITATIONS
Rank 30,854

SSRN RANKINGS

Top 30,854

in Total Papers Citations

7

Scholarly Papers (5)

1.

Optimal Portfolios from Ordering Information

Number of pages: 62 Posted: 25 Dec 2004
Robert Almgren and Neil A Chriss
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads 2,285 (3,998)
Citation 4

Abstract:

Portfolio Selection, Firm Characteristics, Modern Portfolio Theory, Optimal Portfolios, Portfolio, Optimal, Characteristics, Markowitz, CAPM, Capital Asset Pricing Model, Portfolio Choice

2.

Optimal Liquidation

Number of pages: 37 Posted: 15 Jan 1998
Robert Almgren and Neil A Chriss
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads 1,455 (8,605)
Citation 3

Abstract:

3.

Portfolios from Sorts

Number of pages: 22 Posted: 12 May 2005
Neil A Chriss and Robert Almgren
Hutchin Hill Capital and University of Toronto - Department of Mathematics
Downloads 794 (19,735)

Abstract:

optimal portfolios, portfolio choice, portfolio optimization, optimization theory, convex optimization, asset pricing, capm

4.

Closed-Form Solutions for Option Hedging with Market Impact

Number of pages: 30 Posted: 01 Sep 2013
Tianhui Li and Robert Almgren
Princeton University and University of Toronto - Department of Mathematics
Downloads 125 (148,312)

Abstract:

market impact model, optimal order execution, algorithmic trading, options hedging

5.

Optimal Soaring via Hamilton-Jacobi-Bellman Equations

Optimal Control, Applications and Methods, Forthcoming.
Number of pages: 28 Posted: 22 Feb 2014 Last Revised: 03 Apr 2014
Robert Almgren and Agnes Tourin
University of Toronto - Department of Mathematics and NYU Tandon - Department of Finance and Risk Engineering
Downloads 32 (298,976)

Abstract:

Hamilton-Jacobi equations; glider flying; Variational Inequalities; stochastic control; finite difference; monotone approximation