Research
Research
Research
Research
727+ open-access research outputs.
Hierarchical Risk Parity (De Pardo) and the Schur-complement generalization of Cotton are among the most widely adopted regularised portfolio construction methods, yet both are signal-blind: they solv…
We investigate the continuous-time Markowitz mean-variance portfolio selection problem within a multivariate class of fake stationary affine Volterra models. In this non-Markovian and non-semimartinga…
Parametric roll is a rare but high-consequence instability that can trigger abrupt regime changes in ship response, including pronounced shifts in roll statistics and tail risk. This paper develops a …
We study cubic cardinality-constrained portfolio optimization, a higher-order extension of the standard Markowitz formulation where three-way sector co-movement terms augment the quadratic risk-return…
This paper makes the Millennium Prize problem P vs NP operational in quantitative finance by studying cardinality-constrained portfolio selection. Starting from the convex Markowitz mean-variance prog…
We introduce inference methods for score decompositions, which partition scoring functions for predictive assessment into three interpretable components: miscalibration, discrimination, and uncertaint…
We consider a class of two-stage nonconvex nonsmooth stochastic conic program, where the objective functions in both stages can contain nonsmooth terms that are functions with easily computed proximal…
Mixed-Integer Programs (MIPs) are NP-hard optimization models that arise in a broad range of decision-making applications, including finance, logistics, energy systems, and network design. Although mo…
In this paper, we develop a time-series-based signed network model for dimensionality reduction in portfolio optimization, grounded in Markowitz's portfolio theory and extended to incorporate higher-o…
We study entropy-regularized mean-variance portfolio optimization under Bayesian drift uncertainty. Gaussian policies remain optimal under partial information, the value function is quadratic in wealt…
This paper proposes a machine learning-based framework for asset selection and portfolio construction, termed the Best-Path Algorithm Sparse Graphical Model (BPASGM). The method extends the Best-Path …
We investigate domains in Minkowski space that are Gromov hyperbolic with respect to a Kobayashi-like metric introduced by Markowitz in the 1980s. For convex, future complete domains, Gromov hyperboli…
We show that the Markowitz portfolio is a scalar multiple of another portfolio which replaces the covariance with the second moment matrix, via simple application of the Sherman-Morrison identity. Mor…
Multimodal remote sensing technology significantly enhances the understanding of surface semantics by integrating heterogeneous data such as optical images, Synthetic Aperture Radar (SAR), and Digital…
The subadditivity-doubling-rotation (SDR) technique is a powerful route to Gaussian optimality in classical information theory and relies on strict subadditivity and its equality-case analysis, where …
Portfolio optimization under cardinality constraints transforms the classical Markowitz mean-variance problem from a convex quadratic problem into an NP-hard combinatorial optimization problem. This p…
Effectively encoding inequality constraints is a primary obstacle in applying quantum algorithms to financial optimization. A quantum model for Markowitz portfolio optimization is presented that resol…
We prove the mathematically rigorous (semi-)classical limit $\hbar \to 0$ of the Dirac equation with time-dependent external electromagnetic field to relativistic Vlasov equations with Lorentz force f…
We present FlexAvatar, a flexible large reconstruction model for high-fidelity 3D head avatars with detailed dynamic deformation from single or sparse images, without requiring camera poses or express…
This article proposes a unified framework for portfolio optimization (PO), recognizing an object called the `gain probability density function (PDF)' as the fundamental object of the problem from whic…
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