Methods for deciding how to invest money or how to carry out a large trade at the lowest cost and risk. The Almgren-Chriss model chooses how to split a large order over time to balance the cost of moving the market against the risk of waiting, and online portfolio selection chooses the share of wealth to place in each asset round by round, using only the past prices and without knowing what will come next.
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Portfolio and Trading Optimization
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Almgren-Chriss model (Wikipedia)
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The Almgren-Chriss model is a mathematical model in mathematical finance for the optimal execution of large portfolio transactions.
Online portfolio selection (Wikipedia)
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Online portfolio selection (OPS) is an algorithm-based trading strategy that seeks to optimise investment returns.
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