2 citations · 5 across the 7 of their papers we have counts for
4 papers · 1 filter
CVXPY 1.9: Recent Advances in Optimization Modeling Software
William Zhang, Parth Nobel, Aryaman Jeendgar +3
CVXPY is a Python-embedded domain-specific language for convex optimization that lets users express problems in mathematical notation while the system verifies convexity and reduce…
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…