9 citations · 12 across the 6 of their papers we have counts for
Showing 2018Show all
3 papers · 1 filter
stat.ME2018★ 1 cited
Bounded Regression with Gaussian Process Projection
Jize Zhang, Lizhen Lin
Examples with bound information on the regression function and density abound in many real applications. We propose a novel approach for estimating such functions by incorporating…
math.OC2018
A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization
Jize Zhang, Tim Leung, Aleksandr Aravkin
A cardinality-constrained portfolio caps the number of stocks to be traded across and within groups or sectors. These limitations arise from real-world scenarios faced by fund mana…
q-fin.PM2018★ 2 cited
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation
Jize Zhang, Tim Leung, Aleksandr Y. Aravkin
We study an optimization-based approach to con- struct a mean-reverting portfolio of assets. Our objectives are threefold: (1) design a portfolio that is well-represented by an Orn…