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Research


Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach

2001
Operations Research 49 (2001), 372–397.
Dimitris Bertsimas and Leonid Kogan

Optimal Control of Execution Costs for Portfolios

2000
Computing in Science & Engineering 1 (2000), 40–53.
Dimitris Bertsimas and Paul Hummel

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

2000
Review of Financial Studies 13 (2000), 257–300.
Jiang Wang

When Is Time Continuous?

2000
Journal of Financial Economics 55 (2000), 173–204.
Dimitris Bertsimas and Leonid Kogan

Finance: A Selective Survey

2000

Optimal Control of Execution Costs

1998
Journal of Financial Markets 1 (1998), 1–50.
Dimitris Bertsimas

Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices

1998
Journal of Finance 52 (1998), 499–548.
Yacine Ait-Sahalia

Maximizing Predictability in the Stock and Bond Markets

1997
Macroeconomic Dynamics 1 (1997), 118–158.
Craig MacKinlay

Implementing Option Pricing Models When Asset Returns Are Predictable

1995
Journal of Finance 50 (1995), 87–129.
Jiang Wang

A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

1994
Journal of Finance 49 (1994), 851-889.
James Hutchinson and Tomaso Poggio

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