1 citations · 1 across the 5 of their papers we have counts for
6 papers
Nested Clustered Optimization Is One End of a Schur Bridge, and the Interior Is Sometimes Provably Better
Peter Cotton
Nested clustered optimization allocates within each cluster from the cluster's own covariance block and then across the resulting cluster portfolios. Block inversion says the uncon…
Scalable Inversion of Contests with Correlated Performances, Including Softmax and Multinomial Probit
Peter Cotton
Multinomial probit choice probabilities over n alternatives are Gaussian orthant integrals, computed by simulation for thirty years, one expensive integral per alternative. Inversi…
Marginally Useful: An Information-Gap Identity in Conformal Prediction
Peter Cotton
Conformal prediction has been touted as a more formal, rigorous approach to adding uncertainty to a forecast. The sole objective of this note is to point out that rigor cuts both w…
On a Simple Relationship Between Order Imbalance, Skew and Width in Over-The-Counter Trading
Peter Cotton
We consider a market maker who can only obtain and dispose of inventory by responding to a sequence of sealed-bid enquiries, and whose customers arrive with imbalanced intent: sell…
Two Sides of Schur Damping: High-Dimensional Pseudo-Likelihoods and Portfolio Allocation
Peter Cotton
Two communities that rarely cite each other -- spatial statisticians fitting high-dimensional weather fields, and quantitative investors building portfolios -- have independently a…
Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios
Peter Cotton
Despite many attempts to make optimization-based portfolio construction in the spirit of Markowitz robust and approachable, it is far from universally adopted. Meanwhile, the colle…