activity
20162023
most citedMean-Reverting Portfolio Design with Budget Constraint

39 citations · 52 across the 10 of their papers we have counts for

collaborators

11 papers

eess.SP2023★ 1 cited

Discerning and Enhancing the Weighted Sum-Rate Maximization Algorithms in Communications

Zepeng Zhang, Ziping Zhao, Kaiming Shen +2

Weighted sum-rate (WSR) maximization plays a critical role in communication system design. This paper examines three optimization methods for WSR maximization, which ensure converg…

cs.LG2022★ 2 cited

ASGNN: Graph Neural Networks with Adaptive Structure

Zepeng Zhang, Songtao Lu, Zengfeng Huang +1

The graph neural network (GNN) models have presented impressive achievements in numerous machine learning tasks. However, many existing GNN models are shown to be vulnerable to adv…

cs.LG2022★ 1 cited

Towards Understanding Graph Neural Networks: An Algorithm Unrolling Perspective

Zepeng Zhang, Ziping Zhao

The graph neural network (GNN) has demonstrated its superior performance in various applications. The working mechanism behind it, however, remains mysterious. GNN models are desig…

eess.SP2021★ 2 cited

Rate Maximizations for Reconfigurable Intelligent Surface-Aided Wireless Networks: A Unified Framework via Block Minorization-Maximization

Zepeng Zhang, Ziping Zhao

The reconfigurable intelligent surface (RIS) has arose an upsurging research interest recently due to its promising outlook in 5G-and-beyond wireless networks. With the assistance…

eess.SP2021★ 2 cited

Joint Design of Transmit Waveforms and Receive Filters for MIMO Radar via Manifold Optimization

Huanyu Zhang, Ziping Zhao

The problem of joint design of transmit waveforms and receive filters is desirable in many application scenarios of multiple-input multiple-output (MIMO) radar systems. In this pap…

stat.ML2018

Sparse Reduced Rank Regression With Nonconvex Regularization

Ziping Zhao, Daniel P. Palomar

In this paper, the estimation problem for sparse reduced rank regression (SRRR) model is considered. The SRRR model is widely used for dimension reduction and variable selection wi…

q-fin.PM2018★ 2 cited

Optimal Portfolio Design for Statistical Arbitrage in Finance

Ziping Zhao, Rui Zhou, Zhongju Wang +1

In this paper, the optimal mean-reverting portfolio (MRP) design problem is considered, which plays an important role for the statistical arbitrage (a.k.a. pairs trading) strategy…

math.OC2018★ 2 cited

MIMO Transmit Beampattern Matching Under Waveform Constraints

Ziping Zhao, Daniel P. Palomar

In this paper, the multiple-input multiple-output (MIMO) transmit beampattern matching problem is considered. The problem is formulated to approximate a desired transmit beampatter…

stat.ML2017★ 1 cited

Robust Maximum Likelihood Estimation of Sparse Vector Error Correction Model

Ziping Zhao, Daniel P. Palomar

In econometrics and finance, the vector error correction model (VECM) is an important time series model for cointegration analysis, which is used to estimate the long-run equilibri…

q-fin.PM2017★ 39 cited

Mean-Reverting Portfolio Design with Budget Constraint

Ziping Zhao, Daniel P. Palomar

This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed a…

q-fin.PM2016

Mean-Reverting Portfolio Design via Majorization-Minimization Method

Ziping Zhao, Daniel P. Palomar

This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. The problem is formulated by optimizing a criterion ch…