Search Results for author: Chenyu Yu

Found 2 papers, 0 papers with code

Regime-Aware Asset Allocation: a Statistical Jump Model Approach

no code implementations7 Feb 2024 Yizhan Shu, Chenyu Yu, John M. Mulvey

This article investigates the impact of regime switching on asset allocation decisions, with a primary focus on comparing different regime identification models.

Time Series

Stochastic and Private Nonconvex Outlier-Robust PCA

no code implementations17 Mar 2022 Tyler Maunu, Chenyu Yu, Gilad Lerman

Our results emphasize the advantages of the nonconvex methods over another convex approach to solving this problem in the differentially private setting.

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