This paper presents a quantitative model of financial transactions between economic agents on economic space. Risk …

We show that the probability of risk parity beating any other portfolio is more than 50 percent. We also prove that if … portfolio performance is measured by Sharpe ratio, risk parity is the only maximin portfolio when (1) all assets' future Sharpe … assets' future Sharpe ratios is greater than some constant. If portfolio performance is measured by expected return, risk …

Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between … risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …

Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between … risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …

if the risk aversion is beyond a certain level. …

We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging … the total risk of his portfolio after a drawdown. In this case, he faces a tradeoff of either paying the transaction costs … and deleveraging, or keeping his current position in the illiquid instrument and hedging away some of the risk while …