Aleksandr Aravkin

University of Washington - Department of Applied Mathematics

Assistant Professor

Box 352420

Seattle, WA 98195-2420

United States

  • University of Washington - Department of Applied Mathematics

SCHOLARLY PAPERS

4

DOWNLOADS

750

SSRN CITATIONS

6

CROSSREF CITATIONS

1

Scholarly Papers (4)

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1.

A Relaxed Optimization Approach for Cardinality-Constrained Portfolios

European Control Conference, Italy 2019
Number of pages: 8 Posted: 16 Nov 2018 Last Revised: 23 Mar 2019
Jize Zhang, Tim Leung and Aleksandr Aravkin
University of Washington, Department of Applied Mathematics, Students, University of Washington - Department of Applied Math and University of Washington - Department of Applied Mathematics
Downloads 265 (177,979)
Citation 1

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portfolio optimization, conditional value at risk, mean variance portfolio, cardinality constraints

2.

Sparse Mean-Reverting Portfolios Via Penalized Likelihood Optimization

Automatica, Volume 111, 108651, Jan 2020
Number of pages: 10 Posted: 28 Nov 2018 Last Revised: 12 Nov 2019
Jize Zhang, Tim Leung and Aleksandr Aravkin
University of Washington, Department of Applied Mathematics, Students, University of Washington - Department of Applied Math and University of Washington - Department of Applied Mathematics
Downloads 257 (183,465)
Citation 5

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sparse portfolio, maximum likelihood estimation, portfolio optimization, Ornstein-Uhlenbeck process

3.

Mean Reverting Portfolios via Penalized OU-Likelihood Estimation

In Proceedings of IEEE Conference on Decision and Control (CDC) 2018
Number of pages: 6 Posted: 21 Mar 2018 Last Revised: 18 Feb 2019
Jize Zhang, Tim Leung and Aleksandr Aravkin
University of Washington, Department of Applied Mathematics, Students, University of Washington - Department of Applied Math and University of Washington - Department of Applied Mathematics
Downloads 200 (232,811)
Citation 2

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Mean Reversion, Maximum Likelihood Estimation, Ornstein-Uhlenbeck Process

4.

Climate Futures and Projected Mortality Due To Non-Optimal Temperature From 2020 To 2100: A Global Burden of Disease Forecasting Study

Number of pages: 20 Posted: 16 Aug 2021
Katrin Gabriele Burkart, Michael Brauer, Jeremy Hess, Aleksandr Aravkin, Charles Ashbaugh, Julian Chalek, Bronte Dalton, Kai Fukutaki, William Godwin, Simon I. Hay, Jaiwei He, Vincent Iannucci, Samantha Larson, Stephen S. Lim, Jiangmei Liu, Christopher JL Murray, Stein Emil Vollset, Amanda E Smith, Peng Zheng, Maigeng Zhou and Jeffrey D. Stanaway
University of Washington - The Institute for Health Metrics and Evaluation, University of British Columbia (UBC) - School of Population and Public Health, University of Washington - Department of Environmental and Occupational Health Science, University of Washington - Department of Applied Mathematics, University of Washington, University of Washington, University of Washington, University of Washington, University of Washington - The Institute for Health Metrics and Evaluation, University of Washington - Department of Health Metrics Sciences, University of Washington, University of Washington - The Institute for Health Metrics and Evaluation, University of Washington - The Institute for Health Metrics and Evaluation, University of Washington, Chinese Center for Disease Control and Prevention, University of Washington, University of Washington - The Institute for Health Metrics and Evaluation, University of Washington, University of Washington, Chinese Center for Disease Control and Prevention - Non-Communicable Disease Center and University of Washington - The Institute for Health Metrics and Evaluation
Downloads 28 (714,518)

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