4 citations · 7 across the 4 of their papers we have counts for
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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…
q-fin.PM2018★ 2 cited
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…