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stat.ME2023
Structural Discovery with Partial Ordering Information for Time-Dependent Data with Convergence Guarantees
Jiahe Lin, Huitian Lei, George Michailidis
Structural discovery amongst a set of variables is of interest in both static and dynamic settings. In the presence of lead-lag dependencies in the data, the dynamics of the system…
math.OC2023
Cardinality Constrained Mean-Variance Portfolios: A Penalty Decomposition Algorithm
Ahmad Mousavi, George Michailidis
The cardinality-constrained mean-variance portfolio problem has garnered significant attention within contemporary finance due to its potential for achieving low risk while effecti…