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stat.ML2025
A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection
Sarat Moka, Matias Quiroz, Vali Asimit +1
Portfolio optimization involves selecting asset weights to minimize a risk-reward objective, such as the portfolio variance in the classical minimum-variance framework. Sparse port…
math.PR2025★ 1 cited
Efficient Rare-Event Simulation for Random Geometric Graphs via Importance Sampling
Sarat Moka, Christian Hirsch, Volker Schmidt +1
Random geometric graphs defined on Euclidean subspaces, also called Gilbert graphs, are widely used to model spatially embedded networks across various domains. In such graphs, nod…