Petter N. Kolm

New York University (NYU) - Courant Institute of Mathematical Sciences

Clinical Full Professor

251 Mercer Street

New York, NY 10012

United States

SCHOLARLY PAPERS

7

DOWNLOADS
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Top 11,082

in Total Papers Downloads

4,645

SSRN CITATIONS

1

CROSSREF CITATIONS

6

Scholarly Papers (7)

1.

Multiperiod Portfolio Selection and Bayesian Dynamic Models

Risk, Vol. 28, Issue 3, p 50-54, March 2015
Number of pages: 8 Posted: 28 Jul 2014 Last Revised: 04 Dec 2017
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 2,027 (7,960)
Citation 1

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Portfolio optimization, Transaction costs, Bayesian statistics, Markov models

2.

Modern Perspectives on Reinforcement Learning in Finance

The Journal of Machine Learning in Finance, Vol. 1, No. 1, 2020.
Number of pages: 28 Posted: 16 Sep 2019 Last Revised: 09 Mar 2020
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 1,270 (16,775)
Citation 2

Abstract:

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Dynamic programming, Finance, Hedging, Intertemporal choice; Investment analysis, Machine learning, Optimal control, Options, Portfolio optimization, Reinforcement learning

3.

On the Bayesian Interpretation of Black-Litterman

European Journal of Operational Research, Volume 258, Issue 2, 16 April 2017, Pages 564-572
Number of pages: 22 Posted: 17 Oct 2016 Last Revised: 01 Dec 2017
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 883 (28,653)

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Black-Litterman, Portfolio Optimization, APT, Bayesian statistics

4.

Chinese Outbound Investments into US (2004-2012)

Number of pages: 15 Posted: 10 Apr 2012
Petter N. Kolm and Henry Tillman
New York University (NYU) - Courant Institute of Mathematical Sciences and Grisons Peak LLP
Downloads 465 (66,758)

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China, cross-border M&A, outward foreign direct investment, US

5.

Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

Nystrup, Peter, Kolm, Petter N. and Lindstrom, Erik, "Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features." The Journal of Financial Data Science 2.3 (2020).
Posted: 05 Jun 2020 Last Revised: 17 Jun 2020
Peter Nystrup, Petter N. Kolm and Erik Lindstrom
Lund University, New York University (NYU) - Courant Institute of Mathematical Sciences and Lund University

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Clustering; Finance; Jump models; Markov-Switching; State sequence estimation; Unsupervised learning

6.

Best Practices in Research for Quantitative Equity Strategies

The Journal of Portfolio Management Special QES Issue 2016, 42 (5) 135-143; DOI/10.3905/jpm.2016.42.5.135
Posted: 27 Jan 2020
New York University (NYU) - Courant Institute of Mathematical Sciences, EDHEC Business School and New York University (NYU) - Courant Institute of Mathematical Sciences

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Research methodology, quantitative finance, machine learning, psychology

7.

Dynamic Replication and Hedging: A Reinforcement Learning Approach

Kolm, Petter N. and Gordon Ritter. "Dynamic Replication and Hedging: A Reinforcement Learning Approach." The Journal of Financial Data Science 1.1 (2019).
Posted: 05 Dec 2018 Last Revised: 12 Nov 2019
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

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Finance; Hedging; Investment analysis; Machine learning; Optimal control; Options; Portfolio optimization; Reinforcement learning