Irene Song

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

331 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 38,176

in Total Papers Downloads

1,123

CITATIONS

3

Scholarly Papers (3)

1.

A Generalized Risk Budgeting Approach to Portfolio Construction

Number of pages: 28 Posted: 05 Jul 2014 Last Revised: 09 Jan 2016
Imperial College Business School, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 947 (23,248)
Citation 1

Abstract:

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Risk Parity, Risk Budgeting, MCMC, Augmented Lagrangian, Portfolio Optimization, Semidefinite Programming

2.

An Efficiency-Based Approach to Stock Selection

Number of pages: 47 Posted: 05 Jul 2015
Irene Song, Iraj Kani and Soulaymane Kachani
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Samson Capital Advisors and Columbia University
Downloads 119 (233,105)
Citation 1

Abstract:

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Data Envelopment Analysis, Stock Selection, Operational Efficiency, Fundamental Analysis, Relative Value Analysis

3.

Joint Variable Selection for Data Envelopment Analysis via Group Sparsity

Number of pages: 28 Posted: 10 Mar 2014
Zhiwei Qin and Irene Song
DiDi Research Americaaffiliation not provided to SSRN and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 57 (363,616)
Citation 2

Abstract:

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Data envelopment analysis (DEA), Group Lasso, Lasso, Group variable selection, Alternating direction method of multipliers (ADMM)