1 citations · 1 across the 4 of their papers we have counts for
4 papers
A mathematical study of the excess growth rate
Steven Campbell, Ting-Kam Leonard Wong
The excess growth rate, defined as the gap in Jensen's inequality for the logarithm, is a fundamental functional in portfolio theory. In this paper, we present a mathematical study…
Macroscopic properties of equity markets: stylized facts and portfolio performance
Steven Campbell, Qien Song, Ting-Kam Leonard Wong
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and…
Efficient convex PCA with applications to Wasserstein GPCA and ranked data
Steven Campbell, Ting-Kam Leonard Wong
Convex PCA, which was introduced in Bigot et al. (2017), modifies Euclidean PCA by restricting the data and the principal components to lie in a given convex subset of a Hilbert sp…
Lattice star and acyclic branched polymer vertex exponents in 3d
S Campbell, EJ Janse van Rensburg
Numerical values of lattice star entropic exponents , and star vertex exponents , are estimated using parallel implementations of the PERM and Wang-Landau algorithms. Our…