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 7,755

SSRN RANKINGS

Top 7,755

in Total Papers Downloads

5,723

CITATIONS
Rank 13,334

SSRN RANKINGS

Top 13,334

in Total Papers Citations

39

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 2,573 (4,635)
Citation 8

Abstract:

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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 1,827 (8,282)
Citation 5

Abstract:

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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 1,047 (19,903)
Citation 2

Abstract:

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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 192 (155,807)
Citation 28

Abstract:

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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 84 (292,754)
Citation 1

Abstract:

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