468 citations · 768 across the 16 of their papers we have counts for
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math.OC2022★ 1 cited
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…
math.OC2022
Embedded Code Generation with CVXPY
Maximilian Schaller, Goran Banjac, Steven Diamond +3
We introduce CVXPYgen, a tool for generating custom C code, suitable for embedded applications, that solves a parametrized class of convex optimization problems. CVXPYgen is based…