133 citations · 192 across the 9 of their papers we have counts for
Showing 2021Show all
3 papers · 1 filter
q-fin.PM2021★ 1 cited
Portfolio Construction Using Stratified Models
Jonathan Tuck, Shane Barratt, Stephen Boyd
In this paper we develop models of asset return mean and covariance that depend on some observable market conditions, and use these to construct a trading policy that depends on th…
stat.ML2021
Covariance Prediction via Convex Optimization
Shane Barratt, Stephen Boyd
We consider the problem of predicting the covariance of a zero mean Gaussian vector, based on another feature vector. We describe a covariance predictor that has the form of a gene…
stat.ML2021★ 2 cited
Low Rank Forecasting
Shane Barratt, Yining Dong, Stephen Boyd
We consider the problem of forecasting multiple values of the future of a vector time series, using some past values. This problem, and related ones such as one-step-ahead predicti…