Auteur Brown, David B.
Documents disponibles écrits par cet auteur (4)
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Brown, David B., Auteur ; Enrico De Giorgi, Auteur ; Melvyn Sim, Auteur |We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This s[...]
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Bertsimas, Dimitris, Auteur ; Brown, David B., Auteur |Despite the celebrated success of dynamic programming for optimizing quadratic cost functions over linear systems, such an approach is limited by its inability to tractably deal with even simple constraints. In this paper, we present an alternat[...]
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Brown, David B., Auteur ; James E. Smith, Auteur |We consider the problem of dynamic portfolio optimization in a discrete-time, finite-horizon setting. Our general model considers risk aversion, portfolio constraints (e.g., no short positions), return predictability, and transaction costs. This[...]
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Brown, David B., Auteur ; Bruce Ian Carlin, Auteur ; Miguel Sousa Lobo, Auteur |We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity needs, with a model that accounts for both permanent and temporary price impact of trading. We first show that a risk-neutral [...]
