2 papers
cs.CE2021
The cross-sectional distribution of portfolio returns and applications
Ludovic Calès, Apostolos Chalkis, Ioannis Z. Emiris
This paper aims to develop new mathematical and computational tools for modeling the distribution of portfolio returns across portfolios. We establish relevant mathematical formula…
cs.CG2018
Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises
Ludovic Cales, Apostolos Chalkis, Ioannis Z. Emiris +1
We examine volume computation of general-dimensional polytopes and more general convex bodies, defined as the intersection of a simplex by a family of parallel hyperplanes, and ano…