2 citations · 5 across the 7 of their papers we have counts for
3 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…
ARMA Cell: A Modular and Effective Approach for Neural Autoregressive Modeling
Philipp Schiele, Christoph Berninger, David Rügamer
The autoregressive moving average (ARMA) model is a classical, and arguably one of the most studied approaches to model time series data. It has compelling theoretical properties a…