35 citations · 52 across the 5 of their papers we have counts for
Showing 2019Show all
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q-fin.RM2019
Portfolio Optimization with Expectile and Omega Functions
Alexander Wagner, Stan Uryasev
This paper proves equivalences of portfolio optimization problems with negative expectile and omega ratio. We derive subgradients for the negative expectile as a function of the po…
math.FA2019★ 1 cited
Nonembeddability of Persistence Diagrams with Wasserstein Metric
Alexander Wagner
Persistence diagrams do not admit an inner product structure compatible with any Wasserstein metric. Hence, when applying kernel methods to persistence diagrams, the underlying fea…
cs.LG2019★ 35 cited
Embeddings of Persistence Diagrams into Hilbert Spaces
Peter Bubenik, Alexander Wagner
Since persistence diagrams do not admit an inner product structure, a map into a Hilbert space is needed in order to use kernel methods. It is natural to ask if such maps necessari…