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

5

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Scholarly Papers (5)

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 1,885 (8,012)
Citation 1

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Portfolio optimization, Transaction costs, Bayesian statistics, Markov models

2.

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 823 (28,643)

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Black-Litterman, Portfolio Optimization, APT, Bayesian statistics

3.

Modern Perspectives on Reinforcement Learning in Finance

The Journal of Machine Learning in Finance, Vol. 1, No. 1, 2019.
Number of pages: 28 Posted: 16 Sep 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
Downloads 532 (51,237)

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

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 454 (62,552)

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

5.

Dynamic Replication and Hedging: A Reinforcement Learning Approach

Posted: 05 Dec 2018
Gordon Ritter and Petter N. Kolm
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

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