Follow
Petter Kolm
Petter Kolm
NYU Courant Institute of Mathematical Sciences
Verified email at nyu.edu
Title
Cited by
Cited by
Year
Robust portfolio optimization and management
FJ Fabozzi, PN Kolm, DA Pachamanova, SM Focardi
John Wiley & Sons, 2007
8282007
60 years of portfolio optimization: Practical challenges and current trends
PN Kolm, R Tütüncü, FJ Fabozzi
European Journal of Operational Research 234 (2), 356-371, 2014
6702014
Financial modeling of the equity market: from CAPM to cointegration
FJ Fabozzi, SM Focardi, PN Kolm
John Wiley & Sons, 2006
1852006
Numerical quadratures for singular and hypersingular integrals
P Kolm, V Rokhlin
Computers & Mathematics with Applications 41 (3-4), 327-352, 2001
1192001
Quantitative equity investing: Techniques and strategies
FJ Fabozzi, SM Focardi, PN Kolm
John Wiley & Sons, 2010
1122010
Dynamic replication and hedging: A reinforcement learning approach
PN Kolm, G Ritter
The Journal of Financial Data Science 1 (1), 159-171, 2019
872019
Incorporating trading strategies in the Black-Litterman framework
FJ Fabozzi, SM Focardi, PN Kolm
The Journal of Trading 1 (2), 28-37, 2006
822006
Modern perspectives on reinforcement learning in finance
PN Kolm, G Ritter
Modern Perspectives on Reinforcement Learning in Finance (September 6, 2019 …, 2020
752020
Portfolio selection
FJ Fabozzi, HM Markowitz, F Gupta
Handbook of finance 2, 2008
592008
On the bayesian interpretation of black–litterman
P Kolm, G Ritter
European Journal of Operational Research 258 (2), 564-572, 2017
432017
Deep reinforcement learning for option replication and hedging
J Du, M Jin, PN Kolm, G Ritter, Y Wang, B Zhang
The Journal of Financial Data Science 2 (4), 44-57, 2020
312020
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
PN Kolm, J Turiel, N Westray
Mathematical Finance 33 (4), 1044-1081, 2023
292023
Black–litterman and beyond: The bayesian paradigm in investment management
PN Kolm, G Ritter, J Simonian
The Journal of Portfolio Management 47 (5), 91-113, 2021
292021
Best practices in research for quantitative equity strategies
JA Cerniglia, FJ Fabozzi, PN Kolm
Journal of Portfolio Management 42 (5), 135, 2016
262016
Multiperiod portfolio selection and bayesian dynamic models
PN Kolm, G Ritter
Risk 28 (3), 50-54, 2014
262014
Mean‐Variance Model for Portfolio Selection
FJ Fabozzi, HM Markowitz, PN Kolm, F Gupta
Encyclopedia of Financial Models, 2012
262012
Modellansatz und Algorithmus zur Berechnung von Ökobilanzen im Rahmen der Datenbank ecoinvent
M Schmidt, A Schorb, R Frischknecht, P Kolm
Stoffstromanalysen: in Ökobilanzen und Öko-Audits, 79-95, 1995
231995
Trends in quantitative finance
FJ Fabozzi, SM Focardi, PN Kolm
Research Foundation of CFA Institute, 2006
212006
Greedy online classification of persistent market states using realized intraday volatility features
P Nystrup, PN Kolm, E Lindström
Journal of Financial Data Science 2 (3), 25-39, 2020
202020
Hidden noise structure and random matrix models of stock correlations
II Dimov, PN Kolm, L Maclin, DYC Shiber
Quantitative Finance 12 (4), 567-572, 2012
202012
The system can't perform the operation now. Try again later.
Articles 1–20