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Optimal-Portfolio-Transactions
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We consider the execution of portfolio transactions with the aim of minimizing a combination of risk and transaction costs arising from permanent and temporary market impact. As an example, assume …
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gs-quantitative-strategies-research-notes
gs-quantitative-strategies-research-notes PublicForked from s0ap/gs-quantitative-strategies-research-notes
Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)
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Kalman-and-Bayesian-Filters-in-Python
Kalman-and-Bayesian-Filters-in-Python PublicForked from rlabbe/Kalman-and-Bayesian-Filters-in-Python
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KFAS
KFAS PublicForked from helske/KFAS
KFAS: R Package for Exponential Family State Space Models
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