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pro vyhledávání: '"Luxenberg A"'
Autor:
Luxenberg, Eric, Boyd, Stephen
An exponentially weighted moving model (EWMM) for a vector time series fits a new data model each time period, based on an exponentially fading loss function on past observed data. The well known and widely used exponentially weighted moving average
Externí odkaz:
http://arxiv.org/abs/2404.08136
We consider robust empirical risk minimization (ERM), where model parameters are chosen to minimize the worst-case empirical loss when each data point varies over a given convex uncertainty set. In some simple cases, such problems can be expressed in
Externí odkaz:
http://arxiv.org/abs/2306.05649
We consider convex-concave saddle point problems, and more generally convex optimization problems we refer to as $\textit{saddle problems}$, which include the partial supremum or infimum of convex-concave saddle functions. Saddle problems arise in a
Externí odkaz:
http://arxiv.org/abs/2301.13427
The minimum (worst case) value of a long-only portfolio of bonds, over a convex set of yield curves and spreads, can be estimated by its sensitivities to the points on the yield curve. We show that sensitivity based estimates are conservative, \ie, u
Externí odkaz:
http://arxiv.org/abs/2212.02570
We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it can be ex
Externí odkaz:
http://arxiv.org/abs/2209.03461
Autor:
Luxenberg, Eric, Boyd, Stephen, Kochenderfer, Mykel, van Beek, Misha, Cao, Wen, Diamond, Steven, Ulitsky, Alex, Menda, Kunal, Vairavamurthy, Vidy
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiquid asset classes is that we do not have direct control over our positi
Externí odkaz:
http://arxiv.org/abs/2207.07767
Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization
Autor:
Luxenberg, Eric, Boyd, Stephen
We consider the problem of choosing an optimal portfolio, assuming the asset returns have a Gaussian mixture (GM) distribution, with the objective of maximizing expected exponential utility. In this paper we show that this problem is convex, and read
Externí odkaz:
http://arxiv.org/abs/2205.04563
Publikováno v:
In Journal of Dentistry October 2023 137
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