2 citations · 2 across the 6 of their papers we have counts for
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q-fin.PM2024
Constrained Max Drawdown: a Fast and Robust Portfolio Optimization Approach
Albert Dorador
We propose an alternative linearization to the classical Markowitz quadratic portfolio optimization model, based on maximum drawdown. This model, which minimizes maximum portfolio…
stat.ML2024★ 2 cited
Theoretical and Empirical Advances in Forest Pruning
Albert Dorador
Regression forests have long delivered state-of-the-art accuracy, often outperforming regression trees and even neural networks, but they suffer from limited interpretability as en…