1 citations · 1 across the 2 of their papers we have counts for
2 papers
cs.LG2022★ 1 cited
Variable Clustering via Distributionally Robust Nodewise Regression
Kaizheng Wang, Xiao Xu, Xun Yu Zhou
We study a multi-factor block model for variable clustering and connect it to regularized subspace clustering through a distributionally robust version of nodewise regression. To s…
q-fin.PM2021
Asset Selection via Correlation Blockmodel Clustering
Wenpin Tang, Xiao Xu, Xun Yu Zhou
We aim to cluster financial assets in order to identify a small set of stocks to approximate the level of diversification of the whole universe of stocks. We develop a data-driven…