2 citations · 5 across the 7 of their papers we have counts for
8 papers
An Operator Splitting Method for Large-Scale CVaR-Constrained Quadratic Programs
Eric Luxenberg, David Pérez-Piñeiro, Steven Diamond +1
We introduce a fast and scalable method for solving quadratic programs with conditional value-at-risk (CVaR) constraints. While these problems can be formulated as standard quadrat…
Exponentially Weighted Moving Models
Eric Luxenberg, Stephen Boyd
An exponentially weighted moving model (EWMM) for a vector time series fits a new data model each time period, based on an exponentially fading loss function on past observed data.…
Specifying and Solving Robust Empirical Risk Minimization Problems Using CVXPY
Eric Luxenberg, Dhruv Malik, Yuanzhi Li +2
We consider robust empirical risk minimization (ERM), where model parameters are chosen to minimize the worst-case empirical loss when each data point varies over a given convex un…
Disciplined Saddle Programming
Philipp Schiele, Eric Luxenberg, Stephen Boyd
We consider convex-concave saddle point problems, and more generally convex optimization problems we refer to as , which include the partial supremum or i…
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…
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…
Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization
Eric Luxenberg, Stephen Boyd
We consider the problem of choosing an optimal portfolio, assuming the asset returns have a Gaussian mixture (GM) distribution, with the objective of maximizing expected exponentia…