Search Results for author: Nicholas Moehle

Found 2 papers, 1 papers with code

Portfolio Construction as Linearly Constrained Separable Optimization

2 code implementations • 9 Mar 2021 • Nicholas Moehle, Jack Gindi, Stephen Boyd, Mykel Kochenderfer

Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes.

Portfolio Optimization Optimization and Control Portfolio Management

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Portfolio Performance Attribution via Shapley Value

no code implementations • 11 Feb 2021 • Nicholas Moehle, Stephen Boyd, Andrew Ang

We consider an investment process that includes a number of features, each of which can be active or inactive.

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