4 papers
Lloyd's -Means Clustering Algorithm Is Frank-Wolfe in Disguise
Michael Pokojovy, J. Marcus Jobe, Simon Lacoste-Julien
Lloyd's -means algorithm, also known as naïve -means, is a widely used ad hoc optimization heuristic, designed to minimize the sum of squared errors (SSE) across all -par…
Comparing EPGP Surrogates and Finite Elements Under Degree-of-Freedom Parity
Obed Amo, Samit Ghosh, Markus Lange-Hegermann +2
We present a new benchmarking study comparing a boundary-constrained Ehrenpreis--Palamodov Gaussian Process (B-EPGP) surrogate with a classical finite element method combined with…
Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks
Yaacov Kopeliovich, Michael Pokojovy
With the recent advancements in machine learning (ML), artificial neural networks (ANN) are starting to play an increasingly important role in quantitative finance. Dynamic portfol…
On Merton's Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility
Yaacov Kopeliovich, Michael Pokojovy, Julia Bernatska
We consider a stock that follows a geometric Brownian motion (GBM) and a riskless asset continuously compounded at a constant rate. We assume that the stock can go bankrupt, i.e.,…