5 citations · 9 across the 7 of their papers we have counts for
9 papers
Allocation of Fungible Resources via a Fast, Scalable Price Discovery Method
Akshay Agrawal, Stephen Boyd, Deepak Narayanan +2
We consider the problem of assigning or allocating resources to a set of jobs. We consider the case when the resources are fungible, that is, the job can be done with any mix of th…
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…
Minimum-Distortion Embedding
Akshay Agrawal, Alnur Ali, Stephen Boyd
We consider the vector embedding problem. We are given a finite set of items, with the goal of assigning a representative vector to each one, possibly under some constraints (such…
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…
Portfolio Construction Using Stratified Models
Jonathan Tuck, Shane Barratt, Stephen Boyd
In this paper we develop models of asset return mean and covariance that depend on some observable market conditions, and use these to construct a trading policy that depends on th…
Covariance Prediction via Convex Optimization
Shane Barratt, Stephen Boyd
We consider the problem of predicting the covariance of a zero mean Gaussian vector, based on another feature vector. We describe a covariance predictor that has the form of a gene…