1.2k citations · 3.4k across the 72 of their papers we have counts for
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Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
Eric Luxenberg, Philipp Schiele, Stephen Boyd
The minimum (worst case) value of a long-only portfolio of bonds, over a convex set of yield curves and spreads, can be estimated by its sensitivities to the points on the yield cu…
Tractable Evaluation of Stein's Unbiased Risk Estimate with Convex Regularizers
Parth Nobel, Emmanuel Candès, Stephen Boyd
Stein's unbiased risk estimate (SURE) gives an unbiased estimate of the risk of any estimator of the mean of a Gaussian random vector. We focus here on the case when the e…
Implementation of an Oracle-Structured Bundle Method for Distributed Optimization
Tetiana Parshakova, Fangzhao Zhang, Stephen Boyd
We consider the problem of minimizing a function that is a sum of convex agent functions plus a convex common public function that couples them. The agent functions can only be acc…
Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
Eric Luxenberg, Philipp Schiele, Stephen Boyd
We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT ut…
Strategic Asset Allocation with Illiquid Alternatives
Eric Luxenberg, Stephen Boyd, Mykel Kochenderfer +6
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiqu…
Model-Based Deep Learning: On the Intersection of Deep Learning and Optimization
Nir Shlezinger, Yonina C. Eldar, Stephen P. Boyd
Decision making algorithms are used in a multitude of different applications. Conventional approaches for designing decision algorithms employ principled and simplified modelling,…