Showing 2026Show all
2 papers · 1 filter
math.OC2026
Fragility of Minimum-Variance Portfolios
Daniel Ovalle, Carl D. Laird, Ignacio E. Grossmann +1
Minimum-variance portfolios are well known to be highly sensitive to covariance estimation error. In this paper, we show that by imposing a block diagonal correlation structure, we…
math.OC2026
Efficient Convexification of Kolmogorov-Arnold Networks with Polynomial Functional Forms Via a Continuous Graham Scan Approach
Tianwei Li, Daniel Ovalle, Barnabas Poczos +3
Deterministic global optimization of nonlinear models is important in many scientific and engineering applications. This framework typically involves repeatedly solving convex rela…