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Found 4 papers, 2 papers with code
Seasonally-Adjusted Auto-Regression of Vector Time Series
We present a simple algorithm to forecast vector time series, that is robust against missing data, in both training and inference.
Differentiating Through a Cone Program
These correspond to computing an approximate new solution, given a perturbation to the cone program coefficients (i. e., perturbation analysis), and to computing the gradient of a function of the solution with respect to the coefficients.
Optimization and Control
Risk and Return models for Equity Markets and Implied Equity Risk Premium
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.
Multi-Period Trading via Convex Optimization
The methods we describe in this paper can be thought of as good ways to exploit predictions, no matter how they are made.
