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Found 5 papers, 4 papers with code
Portfolio Construction Using Stratified Models
In this paper we develop models of asset return mean and covariance that depend on some observable market conditions, and use these to construct a trading policy that depends on these conditions, and the current portfolio holdings.
Fitting Laplacian Regularized Stratified Gaussian Models
We consider the problem of jointly estimating multiple related zero-mean Gaussian distributions from data.
Convex Optimization Over Risk-Neutral Probabilities
We describe a number of convex optimization problems over the convex set of risk neutral price probabilities.
Eigen-Stratified Models
This leads to a reduction, sometimes large, of model size when $m \leq n$ and $m \ll K$.
A Distributed Method for Fitting Laplacian Regularized Stratified Models
In a basic and traditional formulation a separate model is fit for each value of the categorical feature, using only the data that has the specific categorical value.
