4 citations · 7 across the 4 of their papers we have counts for
4 papers
Efficient and Scalable Parametric High-Order Portfolios Design via the Skew-t Distribution
Xiwen Wang, Rui Zhou, Jiaxi Ying +1
Since Markowitz's mean-variance framework, optimizing a portfolio that maximizes the profit and minimizes the risk has been ubiquitous in the financial industry. Initially, profit…
Solving High-Order Portfolios via Successive Convex Approximation Algorithms
Rui Zhou, Daniel P. Palomar
The first moment and second central moments of the portfolio return, a.k.a. mean and variance, have been widely employed to assess the expected profit and risk of the portfolio. In…
Robust Factor Analysis Parameter Estimation
Rui Zhou, Junyan Liu, Sandeep Kumar +1
This paper considers the problem of robustly estimating the parameters of a heavy-tailed multivariate distribution when the covariance matrix is known to have the structure of a lo…
Optimal Portfolio Design for Statistical Arbitrage in Finance
Ziping Zhao, Rui Zhou, Zhongju Wang +1
In this paper, the optimal mean-reverting portfolio (MRP) design problem is considered, which plays an important role for the statistical arbitrage (a.k.a. pairs trading) strategy…