Edgars Jakobsons

ETH Zürich - Department of Mathematics

ETH Zentrum HG-F 42.1

Raemistr. 101

CH-8092 Zurich, 8092

Switzerland

SCHOLARLY PAPERS

5

DOWNLOADS

354

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

Block Rearranging Elements within Matrix Columns to Minimize the Variability of the Row Sums

40R, Forthcoming
Number of pages: 20 Posted: 24 Jul 2015 Last Revised: 21 Nov 2017
Kris Boudt, Edgars Jakobsons and Steven Vanduffel
Ghent University, ETH Zürich - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 165 (196,901)
Citation 2

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Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm

2.

Scenario Aggregation Method for Portfolio Expectile Optimization

Number of pages: 26 Posted: 17 Apr 2016
Edgars Jakobsons
ETH Zürich - Department of Mathematics
Downloads 71 (355,255)
Citation 1

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Expectile, portfolio optimization, linear programming, scenario aggregation

3.

Negative Dependence in Matrix Arrangement Problems

Number of pages: 26 Posted: 05 Apr 2016
Edgars Jakobsons and Ruodu Wang
ETH Zürich - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 61 (384,564)
Citation 2

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Schur-Convexity, Negative Dependence, Scheduling, Systems Assembly, Archimedean Copulas, Rearrangement Algorithm

4.

Dependence Uncertainty Bounds for the Expectile of a Portfolio

Number of pages: 24 Posted: 05 Aug 2015 Last Revised: 17 Nov 2015
Edgars Jakobsons and Steven Vanduffel
ETH Zürich - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 57 (397,519)
Citation 1

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convex order, elicitability, coherence, dependence

5.

Suboptimality in Portfolio Conditional Value-at-Risk Optimization

Journal of Risk, Vol. 18, No. 4, 2016
Number of pages: 24 Posted: 15 Jun 2016
Edgars Jakobsons
ETH Zürich - Department of Mathematics
Downloads 0 (726,093)
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portfolio optimization; conditional value-at-risk (CVaR), discretization error, suboptimality, linear programming (LP), heavy tails