Robust portfolio optimization and management FJ Fabozzi, PN Kolm, DA Pachamanova, SM Focardi John Wiley & Sons, 2007 | 846 | 2007 |
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 | 693 | 2014 |
Financial modeling of the equity market: from CAPM to cointegration FJ Fabozzi, SM Focardi, PN Kolm John Wiley & Sons, 2006 | 186 | 2006 |
Numerical quadratures for singular and hypersingular integrals P Kolm, V Rokhlin Computers & Mathematics with Applications 41 (3-4), 327-352, 2001 | 119 | 2001 |
Quantitative equity investing: Techniques and strategies FJ Fabozzi, SM Focardi, PN Kolm John Wiley & Sons, 2010 | 111 | 2010 |
Dynamic replication and hedging: A reinforcement learning approach PN Kolm, G Ritter The Journal of Financial Data Science 1 (1), 159-171, 2019 | 93 | 2019 |
Incorporating trading strategies in the Black-Litterman framework FJ Fabozzi, SM Focardi, PN Kolm The Journal of Trading 1 (2), 28-37, 2006 | 85 | 2006 |
Modern perspectives on reinforcement learning in finance PN Kolm, G Ritter Modern Perspectives on Reinforcement Learning in Finance (September 6, 2019 …, 2020 | 79 | 2020 |
Portfolio selection FJ Fabozzi, HM Markowitz, F Gupta The Theory and Practice of Investment Management, 45-78, 2011 | 66 | 2011 |
On the bayesian interpretation of black–litterman P Kolm, G Ritter European Journal of Operational Research 258 (2), 564-572, 2017 | 44 | 2017 |
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 | 34 | 2020 |
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 | 31 | 2023 |
Black-litterman and beyond: The bayesian paradigm in investment management PN Kolm, G Ritter, J Simonian The Journal of Portfolio Management, to appear, 2021 | 31 | 2021 |
Best practices in research for quantitative equity strategies JA Cerniglia, FJ Fabozzi, PN Kolm Journal of Portfolio Management 42 (5), 135, 2016 | 26 | 2016 |
Multiperiod portfolio selection and bayesian dynamic models PN Kolm, G Ritter Risk 28 (3), 50-54, 2014 | 26 | 2014 |
Mean‐Variance Model for Portfolio Selection FJ Fabozzi, HM Markowitz, PN Kolm, F Gupta Encyclopedia of Financial Models, 2012 | 26 | 2012 |
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 | 24 | 1995 |
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 | 23 | 2020 |
Trends in quantitative finance FJ Fabozzi, SM Focardi, PN Kolm Research Foundation of CFA Institute, 2006 | 20 | 2006 |
Quadruple and octuple layer potentials in two dimensions I: Analytical apparatus P Kolm, S Jiang, V Rokhlin Applied and Computational Harmonic Analysis 14 (1), 47-74, 2003 | 20 | 2003 |