4 citations · 4 across the 2 of their papers we have counts for
3 papers
q-fin.PM2020★ 4 cited
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…
stat.CO2019
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…
q-fin.PM2018
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…