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 8,142

SSRN RANKINGS

Top 8,142

in Total Papers Downloads

6,060

SSRN CITATIONS
Rank 36,321

SSRN RANKINGS

Top 36,321

in Total Papers Citations

13

CROSSREF CITATIONS

6

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 2,672 (4,992)
Citation 6

Abstract:

Loading...

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 1,918 (8,769)
Citation 5

Abstract:

Loading...

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 1,144 (19,682)
Citation 2

Abstract:

Loading...

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 221 (151,794)
Citation 12

Abstract:

Loading...

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 105 (279,163)

Abstract:

Loading...

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