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 9,198

SSRN RANKINGS

Top 9,198

in Total Papers Downloads

6,653

SSRN CITATIONS
Rank 39,715

SSRN RANKINGS

Top 39,715

in Total Papers Citations

13

CROSSREF CITATIONS

6

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 2,844 (5,680)
Citation 6

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 2,082 (9,382)
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 1,343 (18,787)
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 255 (153,893)
Citation 13

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 129 (279,506)

Abstract:

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