2 citations · 4 across the 5 of their papers we have counts for
5 papers
Simple Dynamic Stock/Bond/Gold Portfolios
Nikhil Devanathan, Alexandros E. Tzikas, Stephen P. Boyd
For more than four decades, the 60/40 stock/bond portfolio has served as a benchmark for delivering reasonable returns without excessive risk. More recently, a 50/30/20 stock/bond/…
Single-Asset Adaptive Leveraged Volatility Control
Nikhil Devanathan, Dylan Rueter, Stephen Boyd +6
This paper introduces a methodology for constructing a market index composed of a liquid risky asset and a liquid risk-free asset that achieves a fixed target volatility. Existing…
A Distributed Method for Cooperative Transaction Cost Mitigation
Nikhil Devanathan, Logan Bell, Dylan Rueter +1
Funds at large portfolio management firms may consist of many portfolio managers (PMs), each managing a portion of the fund and optimizing a distinct objective. Although the PMs de…
Efficient Shapley Performance Attribution for Least-Squares Regression
Logan Bell, Nikhil Devanathan, Stephen Boyd
We consider the performance of a least-squares regression model, as judged by out-of-sample . Shapley values give a fair attribution of the performance of a model to its input…
Polyak Minorant Method for Convex Optimization
Nikhil Devanathan, Stephen Boyd
In 1963 Boris Polyak suggested a particular step size for gradient descent methods, now known as the Polyak step size, that he later adapted to subgradient methods. The Polyak step…