Risk Magazine calls on Seeyond’s expertise
Risk Magazine asked Hamza Bahaji, the head of Seeyond’s Quantitative Research, to shed light on a share allocation model proposed by Petter Kolm, Professor at New York University (NYU), and Gordon Ritter, an associate professor at the NYU and senior fund manager at GSA Capital.
This model's specificity is that it integrates the dynamic management of transaction costs generated by portfolio rotation. It was addressed in an article published in the magazine’s March edition under the title “Multiperiod Portfolio selection and Bayesian dynamic models”.
Click on this link to read the article.