Neil Chriss
Neil Chriss is a mathematician and quantitative-finance practitioner who has worked in quantitative asset management and trading roles (including at Morgan Stanley Dean Witter and Goldman Sachs Asset Management around the time of the 2000 paper, and later at hedge funds). He appears in this vault as the co-author, with Robert Almgren, of Almgren Chriss 2000, “Optimal Execution of Portfolio Transactions” — the foundational mean-variance model of Optimal Execution that this vault treats as the canonical execution Markov Decision Process.
Connections
- Almgren Chriss 2000 — proposes_model, co-author of the foundational optimal-execution paper, source: https://www.smallake.kr/wp-content/uploads/2016/03/optliq.pdf
- Robert Almgren — relates, co-author on the 2000 optimal-execution paper, source: https://www.smallake.kr/wp-content/uploads/2016/03/optliq.pdf
- Optimal Execution — defines, co-originator of the canonical formulation, source: https://www.smallake.kr/wp-content/uploads/2016/03/optliq.pdf