Concepedia

Robert Almgren

RA

18

Publications

3.4K

Citations

14

H-Index

1990

Active since

Affiliations

University of Chicago(Current)

New York University

Courant Institute of Mathematical Sciences

University of Toronto

Robert Almgren is an author at University of Chicago specializing in engineering, physics, and fluid mechanics.

Top concepts

EngineeringPhysicsFinanceBusinessAsset PricingFluid DynamicsEconomicsFinancial EconomicsPortfolio OptimizationMathematical Programming

Publications per year

1990–2016

18

Publications

18

Optimal execution of portfolio transactions

Robert Almgren, Neil Chriss · The Journal of Risk · 2001 · 1.6K citations

Mathematical Programming, Economics, Portfolio Optimization +14

Optimal execution with nonlinear impact functions and trading-enhanced risk

Robert Almgren · Applied Mathematical Finance · 2003 · 490 citations

Mathematical Programming, Portfolio Management, Optimal Trading +16

Direct Estimation of Equity Market Impact

Robert Almgren, Chee Y. Thum, Emmanuel Hauptmann et al. · 2005 · 369 citations

Second-Order Phase Field Asymptotics for Unequal Conductivities

Robert Almgren · SIAM Journal on Applied Mathematics · 1999 · 182 citations

Phase Field Model, Engineering, Simple Liquid +15

Optimal Trading with Stochastic Liquidity and Volatility

Robert Almgren · SIAM Journal on Financial Mathematics · 2012 · 150 citations

Engineering, Liquidity, Optimal Cost +16

Rows per page

1–5 of 18