5 King's College Road
Toronto, Ontario M5S 3G8
Canada
University of Toronto - Department of Mechanical and Industrial Engineering
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Portfolio optimization, Investment management, Generative AI, ChatGPT
Asset Allocation; Markov Regime Switching; Factor Model; Mean-Variance Optimization; Robust Optimization
Non-Convex Optimization, Robust Optimization, ADMM, Risk Parity, Asset Allocation
Data driven stochastic-programming, Regression, Mean-variance optimization, Empirical risk minimization, Differentiable neural networks
Portfolio Optimization, Cardinality Constraints, Differentiable Neural Networks, Decision-based Learning, End-to-end Optimization
Integer Programming, Conic Optimization, Portfolio Optimization, Equal Risk Contributions, Risk Parity, Cardinality Constraints
Investment Management, Portfolio Optimization, S&P 500 Sectors, Generative AI, Large Language Models
Intraday Trading, Optimal Liquidation, Shrinking Horizon, Lower Partial Moments, Stochastic Programming
Portfolio selection; Risk parity, Distributionally robust optimization, Statistical ambiguity, Saddle-point problem, Gradient descent
