This work aims to reconcile theory and practice, proposing a dynamic model of asset allocation that allows the creation, with the help of genetic algorithms, of reasonable portfolios for investors chasing a variety of objectives over multiple time horizons. Our results are interesting and...

In this article, the authors propose an order flow simulator for meta orders such as those originating from the trading activity of buy-side firms. The simulator is designed with three key goals in mind. First, it should be simple to use and integrate into different applications. Second, it must...

Average Value-at-Risk (AVaR) is a potential alternative to Value-at-Risk in the financial regulation of banking and insurance institutions. To understand how AVaR influences a company's investment behavior, we study portfolio optimization under the AVaR constraint. Our main contribution is to...