2 citations · 5 across the 7 of their papers we have counts for
4 papers · 1 filter
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…