16 citations · 21 across the 2 of their papers we have counts for
4 papers
Portfolio Performance Attribution via Shapley Value
Nicholas Moehle, Stephen Boyd, Andrew Ang
We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each…
A Certainty Equivalent Merton Problem
Nicholas Moehle, Stephen Boyd
The Merton problem is the well-known stochastic control problem of choosing consumption over time, as well as an investment mix, to maximize expected constant relative risk aversio…
Tax-Aware Portfolio Construction via Convex Optimization
Nicholas Moehle, Mykel J. Kochenderfer, Stephen Boyd +1
We describe an optimization-based tax-aware portfolio construction method that adds tax liability to standard Markowitz-based portfolio construction. Our method produces a trade li…
Dynamic Energy Management
Nicholas Moehle, Enzo Busseti, Stephen Boyd +1
We present a unified method, based on convex optimization, for managing the power produced and consumed by a network of devices over time. We start with the simple setting of optim…