2 citations · 6 across the 7 of their papers we have counts for
8 papers
Low-Rank plus Sparse Decomposition of Covariance Matrices using Neural Network Parametrization
Michel Baes, Calypso Herrera, Ariel Neufeld +1
This paper revisits the problem of decomposing a positive semidefinite matrix as a sum of a matrix with a given rank plus a sparse matrix. An immediate application can be found in…
A continuous selection for optimal portfolios under convex risk measures does not always exist
Michel Baes, Cosimo Munari
One of the crucial problems in mathematical finance is to mitigate the risk of a financial position by setting up hedging positions of eligible financial securities. This leads to…
Existence, uniqueness and stability of optimal portfolios of eligible assets
Michel Baes, Pablo Koch-Medina, Cosimo Munari
In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specif…
Duality for Mixed-Integer Convex Minimization
Michel Baes, Timm Oertel, Robert Weismantel
We extend in two ways the standard Karush-Kuhn-Tucker optimality conditions to problems with a convex objective, convex functional constraints, and the extra requirement that some…
Mirror-Descent Methods in Mixed-Integer Convex Optimization
Michel Baes, Timm Oertel, Christian Wagner +1
In this paper, we address the problem of minimizing a convex function f over a convex set, with the extra constraint that some variables must be integer. This problem, even when f…
An acceleration procedure for optimal first-order methods
Michel Baes, Michael Buergisser
We introduce in this paper an optimal first-order method that allows an easy and cheap evaluation of the local Lipschitz constant of the objective's gradient. This constant must id…