125 citations · 178 across the 13 of their papers we have counts for
Showing 2005 · cs.CEShow all
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cs.CE2005
A Market Test for the Positivity of Arrow-Debreu Prices
Alexandre d'Aspremont
We derive tractable necessary and sufficient conditions for the absence of buy-and-hold arbitrage opportunities in a perfectly liquid, one period market. We formulate the positivit…
cs.CE2005★ 11 cited
Sparse Covariance Selection via Robust Maximum Likelihood Estimation
Onureena Banerjee, Alexandre d'Aspremont, Laurent El Ghaoui
We address a problem of covariance selection, where we seek a trade-off between a high likelihood against the number of non-zero elements in the inverse covariance matrix. We solve…