On Tracking Portfolios with Certainty Equivalents on a Generalization of Markowitz Model: the Fool, the Wise and the Adaptive

ICML11-Slides.pdf (application/pdf Object)

REMOVAL OF CONFUSING TRAINING SAMPLES AS A GENERIC MECHANISM TO IMPROVE AND DIVERSIFY TRADING STRATEGIES DISCOVERED BY BOOSTING-BASED OPTIMIZATION

CIEF2008_Revised_Final.pdf (application/pdf Object)

Worst-case VaR and robust portfolio optimization with interval random uncertainty set

Worst-case VaR and robust portfolio optimization with interval random uncertainty set

Discovery of multi-spread portfolio strategies for weakly-cointegrated instruments using boosting-based optimization

http://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=8&cad=rja&ved=0CHQQFjAH&url=http%3A%2F%2Fwww.atlantis-press.com%2Fphp%2Fdownload_paper.php%3Fid%3D174&ei=9-ISUfqVD5Pa9ATkl4D4Aw&usg=AFQjCNG1JViONT4Kgv4Ud59q61zYiqXNvg&sig2=-P0bB6Pzk_V4v3xHXMHWiw&bvm=bv.42080656,d.eWU

Discovery of multi-component portfolio strategies with continuous tuning to the changing market micro-regimes using inputdependent boosting

RSPaperFinal.pdf (application/pdf Object)

volatility as an asset class

volatility-as-an-asset-class.pdf (application/pdf Object)

Trading Volatility - Excellent 200 Page Synopsis

TradingVolatility.pdf (application/pdf Object)

Stochastic Volatility Modeling - A Practitioner's Approach

SummerSchoolMathFi_LB_1.pdf (application/pdf Object)