| Publication | Date of Publication | Type |
|---|
Least-squares approach to risk parity in portfolio selection
Quantitative Finance | 2021-07-16 | Paper |
| Optimization methods in finance. | 2018-08-07 | Paper |
On the implementation and usage of SDPT3 -- a Matlab software package for semidefinite-quadratic-linear programming, version 4.0
International Series in Operations Research & Management Science | 2016-04-26 | Paper |
60 years of portfolio optimization: practical challenges and current trends
European Journal of Operational Research | 2015-02-03 | Paper |
Estimation of risk-neutral density surfaces
Computational Management Science | 2011-11-15 | Paper |
Rendezvous Search on the Labeled Line
Operations Research | 2009-07-10 | Paper |
Adjustable robust optimization models for a nonlinear two-period system
Journal of Optimization Theory and Applications | 2008-04-14 | Paper |
| scientific article; zbMATH DE number 5239114 (Why is no real title available?) | 2008-02-22 | Paper |
Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
European Journal of Operational Research | 2007-12-12 | Paper |
| Optimization Methods in Finance | 2007-04-05 | Paper |
A non-stationary paradigm for the dynamics of multivariate financial returns
Lecture Notes in Statistics | 2007-01-09 | Paper |
Robust profit opportunities in risky financial portfolios
Operations Research Letters | 2005-08-25 | Paper |
Asymptotic Behavior of Continuous Trajectories for Primal-Dual Potential-Reduction Methods
SIAM Journal on Optimization | 2004-01-19 | Paper |
Solving semidefinite-quadratic-linear programs using SDPT3
Mathematical Programming | 2003-10-29 | Paper |
Solving semidefinite-quadratic-linear programs using SDPT3
Mathematical Programming. Series A. Series B | 2003-10-29 | Paper |
An interior-point method for a class of saddle-point problems
Journal of Optimization Theory and Applications | 2003-10-29 | Paper |
Solving semidefinite-quadratic-linear programs using SDPT3
Mathematical Programming | 2003-02-01 | Paper |
Solving semidefinite-quadratic-linear programs using SDPT3
Mathematical Programming. Series A. Series B | 2003-02-01 | Paper |
A note on calculating the optimal risky portfolio
Finance and Stochastics | 2001-12-12 | Paper |
A primal-dual variant of the Iri-Imai algorithm for linear programming
Mathematics of Operations Research | 2001-11-26 | Paper |
Quadratic convergence of potential-reduction methods for degenerate problems
Mathematical Programming. Series A. Series B | 2001-04-24 | Paper |
SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
Optimization Methods & Software | 2000-12-06 | Paper |
An infeasible-interior-point potential-reduction algorithm for linear programming
Mathematical Programming. Series A. Series B | 2000-01-30 | Paper |
On the Nesterov--Todd Direction in Semidefinite Programming
SIAM Journal on Optimization | 1998-09-21 | Paper |
Reducing horizontal linear complementarity problems
Linear Algebra and its Applications | 1995-07-24 | Paper |
