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math.OC2022
Wasserstein Logistic Regression with Mixed Features
Aras Selvi, Mohammad Reza Belbasi, Martin B Haugh +1
Recent work has leveraged the popular distributionally robust optimization paradigm to combat overfitting in classical logistic regression. While the resulting classification schem…
math.OC2018
Using Column Generation to Solve Extensions to the Markowitz Model
Lorenz M. Roebers, Aras Selvi, Juan C. Vera
We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz m…