17 citations · 41 across the 8 of their papers we have counts for
10 papers
Seasonally-Adjusted Auto-Regression of Vector Time Series
Enzo Busseti
We present a simple algorithm to forecast vector time series, that is robust against missing data, in both training and inference. It models seasonal annual, weekly, and daily base…
Differentiating Through a Cone Program
Akshay Agrawal, Shane Barratt, Stephen Boyd +2
We consider the problem of efficiently computing the derivative of the solution map of a convex cone program, when it exists. We do this by implicitly differentiating the residual…
Derivative of a Conic Problem with a Unique Solution
Enzo Busseti
We view a conic optimization problem that has a unique solution as a map from its data to its solution. If sufficient regularity conditions hold at a solution point, namely that th…
Risk and Return models for Equity Markets and Implied Equity Risk Premium
Enzo Busseti
Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation…
Dynamic Energy Management
Nicholas Moehle, Enzo Busseti, Stephen Boyd +1
We present a unified method, based on convex optimization, for managing the power produced and consumed by a network of devices over time. We start with the simple setting of optim…
Solution Refinement at Regular Points of Conic Problems
E. Busseti, W. Moursi, S. Boyd
Most numerical methods for conic problems use the homogenous primal-dual embedding, which yields a primal-dual solution or a certificate establishing primal or dual infeasibility.…
Multi-Period Trading via Convex Optimization
Stephen Boyd, Enzo Busseti, Steven Diamond +4
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, wher…
Risk-Constrained Kelly Gambling
Enzo Busseti, Ernest K. Ryu, Stephen Boyd
We consider the classic Kelly gambling problem with general distribution of outcomes, and an additional risk constraint that limits the probability of a drawdown of wealth to a giv…
Volume Weighted Average Price Optimal Execution
Enzo Busseti, Stephen Boyd
We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consi…
Calibration of optimal execution of financial transactions in the presence of transient market impact
Enzo Busseti, Fabrizio Lillo
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due…