Petter N. Kolm

60 Years of portfolio optimization: Practical challenges and current trends

Petter N. Kolm, Reha Tütüncü, Frank J. Fabozzi · European Journal of Operational Research · 2013 · 608 citations

Mathematical Programming, Portfolio Optimization, Asset Pricing +8

Robust Portfolio Optimization

Frank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova et al. · The Journal of Portfolio Management · 2007 · 165 citations

Portfolio Optimization, Engineering, Robust Modeling +13

Numerical quadratures for singular and hypersingular integrals

Petter N. Kolm, Vladimir Rokhlin · Computers & Mathematics with Applications · 2001 · 83 citations

Numerical Analysis, Numerical Computation, Engineering +6

Dynamic Replication and Hedging: <i>A Reinforcement Learning Approach</i>

Petter N. Kolm, Gordon Ritter · The Journal of Financial Data Science · 2019 · 78 citations

Engineering, Dynamic Replication, Reinforcement Learning (Educational Psychology) +17

Incorporating Trading Strategies in the Black-Litterman Framework

Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm · The Journal of Trading · 2006 · 70 citations

Trade, Asset Allocation, Portfolio Management +21