5 citations · 8 across the 5 of their papers we have counts for
6 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 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…
Low Rank Forecasting
Shane Barratt, Yining Dong, Stephen Boyd
We consider the problem of forecasting multiple values of the future of a vector time series, using some past values. This problem, and related ones such as one-step-ahead predicti…
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…