2 papers
q-fin.PM2019
Optimising portfolio diversification and dimensionality
Mathias Barkhagen, Brian Fleming, Sergio Garcia Quiles +5
A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance approach and portfolio allocation strategies such as risk parity. It is ba…
math.ST2018
On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
M. Barkhagen, N. H. Chau, É. Moulines +3
We study the problem of sampling from a probability distribution on $\rset^d$ which has a density \wrt\ the Lebesgue measure known up to a normalization factor $x \mapsto \rme^…