Project Details
Description
The project will study financial arbitrage under constraints such as integrality condition, ask-bid spreads, and capacity constraints in realistic trading systems. The researchers will develop optimization tools in approximation and competitiveness for optimal portfolio management of stocks and options.
| Project number | 7002308 |
|---|---|
| Grant type | SRG |
| Status | Finished |
| Effective start/end date | 1/04/08 → 1/11/10 |
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