Maxim Golts

Acadian Asset Management

Portfolio Manager

260 Franklin Street

Boston, MA 02110

United States

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 21,306

SSRN RANKINGS

Top 21,306

in Total Papers Downloads

2,246

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

A Sharper Angle on Optimization

Number of pages: 16 Posted: 07 Oct 2009 Last Revised: 19 Nov 2009
Maxim Golts and Gregory C. Jones
Acadian Asset Management and GMO
Downloads 1,368 (13,593)
Citation 1

Abstract:

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mean-variance optimization, covariance matrix, condition number, leverage, Sharpe Ratio

2.

Diversification, Volatilities, and the Supercurrency: The FX Markets Since Bretton Woods

Number of pages: 40 Posted: 16 May 2010
Maxim Golts and Gregory C. Jones
Acadian Asset Management and GMO
Downloads 473 (59,918)
Citation 1

Abstract:

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diversification, intrinsic volatility, FX modeling, numeraire, effective dimension, entropy, market breadth, Euro, minimal spanning trees

3.

A Forward-Solving Numerical Technique for Dynamic Consumption and Portfolio Allocation Problems

Number of pages: 44 Posted: 18 Mar 2005
Santa Clara University - Finance Department, Acadian Asset Management, Harvard Business School - Finance Unit and Harvard University
Downloads 405 (72,333)

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Numerical, Consumption, Portfolio Choice, Asset Allocation

4.

Liquidity Options

Journal of Derivatives, Vol. 18, No. 1, 2010, https://doi.org/10.3905/jod.2010.2010.1.005, Revere Street Working Paper Series No. 272-27
Posted: 21 May 2019
Maxim Golts and Mark Kritzman
Acadian Asset Management and Windham Capital Management

Abstract:

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liquidity, option, volatility, bid-offer spread, hedge funds, private equity