4 citations · 7 across the 3 of their papers we have counts for
3 papers · 1 filter
Strategic Asset Allocation with Illiquid Alternatives
Eric Luxenberg, Stephen Boyd, Mykel Kochenderfer +6
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiqu…
Disciplined Multi-Convex Programming
Xinyue Shen, Steven Diamond, Madeleine Udell +2
A multi-convex optimization problem is one in which the variables can be partitioned into sets over which the problem is convex when the other variables are fixed. Multi-convex pro…
Convex Optimization in Julia
Madeleine Udell, Karanveer Mohan, David Zeng +3
This paper describes Convex, a convex optimization modeling framework in Julia. Convex translates problems from a user-friendly functional language into an abstract syntax tree des…