2 papers
q-fin.ST2020
Endogenous Representation of Asset Returns
Zhipu Zhou, Alexander Shkolnik, Sang-Yun Oh
Factor modeling of asset returns has been a dominant practice in investment science since the introduction of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theor…
stat.ML2019
Distributionally Robust Formulation and Model Selection for the Graphical Lasso
Pedro Cisneros-Velarde, Sang-Yun Oh, Alexander Petersen
Building on a recent framework for distributionally robust optimization, we consider estimation of the inverse covariance matrix for multivariate data. We provide a novel notion of…