no code implementations • 7 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.
no code implementations • 17 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.