5 citations · 12 across the 3 of their papers we have counts for
3 papers
q-fin.PM2013★ 3 cited
Relative Robust Portfolio Optimization
Raphael Hauser, Vijay Krishnamurthy, Reha Tütüncü
Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classical absolute robust optimization approach with the relative robust approach base…
math.OC2012★ 5 cited
Convex Algorithms for Nonnegative Matrix Factorization
Vijay Krishnamurthy, Alexandre d'Aspremont
We derive approximation algorithms for the nonnegative matrix factorization problem, i.e. the problem of factorizing a matrix as the product of two matrices with nonnegative coeffi…
math.OC2009★ 4 cited
A Pathwise Algorithm for Covariance Selection
Vijay Krishnamurthy, Alexandre d'Aspremont
Covariance selection seeks to estimate a covariance matrix by maximum likelihood while restricting the number of nonzero inverse covariance matrix coefficients. A single penalty pa…