scientific article; zbMATH DE number 7236423

DOI10.4230/LIPICS.SOCG.2018.19MaRDI QIDQ5115786zbMATH OpenFDO

Authors Ludovic Calès, Apostolos Chalkis, Ioannis Z. Emiris, Vissarion Fisikopoulos

Publication date 18 August 2020

Full work available at URL https://arxiv.org/abs/1803.05861

zbMATH Keywords

samplingsimplexconvex bodypolytope volumefinancial portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10) Computer graphics; computational geometry (digital and algorithmic aspects) (68U05) Computational aspects related to convexity (52B55)

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• Dynamic risk exposures in hedge funds
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• Hit-and-run mixes fast
• On the Complexity of Computing the Volume of a Polyhedron
• Polytope Volume Computation
• Practical polytope volume approximation
• Simulation and the Monte Carlo Method
• The multidimensional content of the frustum of the simplex
• Thin partitions, isoperimetric inequalities and a sampling algorithm for star shaped bodies

Cited in

(7)

• Practical volume approximation of high-dimensional convex bodies, applied to modeling portfolio dependencies and financial crises
• Computing the volume of \(n\)-dimensional copulas
• A practical algorithm for volume estimation based on billiard trajectories and simulated annealing
• Truncated log-concave sampling for convex bodies with reflective Hamiltonian Monte Carlo
• Neural networks for cryptocurrency evaluation and price fluctuation forecasting
• Exchangeable Bernoulli distributions: high dimensional simulation, estimation, and testing
• scientific article; zbMATH DE number 7236423 (Why is no real title available?)

Describes a project that uses

Uses Software

• CGAL
• Eigen
• ECOS
• VolEsti
• GitHub

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