Multivariate Affine GARCH in portfolio optimization. Analytical solutions and Applications
Working Paper submitted for publication
2024
A Semismooth Newton Stochastic Proximal Point Algorithm with Variance Reduction
SIAM Journal on Optimization
2024
34
1
1157-1185
On generalized Nash equilibrium problems in infinite-dimensional spaces using Nikaido–Isoda type functionals
Optimization Methods and Software
2024
1-31
Sample Size Estimates for Risk-Neutral Semilinear PDE-Constrained Optimization
SIAM Journal on Optimization
2024
34
1
844-869
Interaction Models and Generalized Score Matching for Compositional Data
1-25
Proceedings of Machine Learning Research
The 2nd Learning on Graphs Conference
2024
Rahul Radhakrishnan
Learning Graphical Lyapunov Models using Best-subset Selection Methods
Masterarbeit
2023
Ruixuan Zhu
Applying double machine learning and BART methods to the American Causal Inference Conference 2022 Data Challenge
Masterarbeit
2023
The Theory of Constant Proportion Performance Participation
Working Paper submitted for publication
2024