16 citations · 21 across the 3 of their papers we have counts for
4 papers · 1 filter
Portfolio Construction as Linearly Constrained Separable Optimization
Nicholas Moehle, Jack Gindi, Stephen Boyd +1
Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and tra…
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…
Risk-Sensitive Model Predictive Control
Nicholas Moehle
We present a heuristic policy and performance bound for risk-sensitive convex stochastic control that generalizes linear-exponential-quadratic regulator (LEQR) theory. Our heuristi…