125 citations · 126 across the 2 of their papers we have counts for
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cs.CE2004★ 1 cited
Static versus Dynamic Arbitrage Bounds on Multivariate Option Prices
Alexandre d'Aspremont
We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multi-variate genera…
cs.CE2004★ 125 cited
A direct formulation for sparse PCA using semidefinite programming
Alexandre d'Aspremont, Laurent El Ghaoui, Michael I. Jordan +1
We examine the problem of approximating, in the Frobenius-norm sense, a positive, semidefinite symmetric matrix by a rank-one matrix, with an upper bound on the cardinality of its…