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Hassan Anis

University of Toronto, Mechanical and Industrial Engineering Department

5 King's College Road

Toronto, ON M5S 3G8

Canada

  • University of Toronto, Mechanical and Industrial Engineering Department

SCHOLARLY PAPERS

3

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921

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0

Scholarly Papers (3)

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1.

End-to-End, Decision-based, Cardinality-Constrained Portfolio Optimization

Number of pages: 35 Posted: 07 Nov 2023 Last Revised: 27 Nov 2023
Hassan Anis and Roy Kwon
University of Toronto, Mechanical and Industrial Engineering Department and University of Toronto - Department of Mechanical and Industrial Engineering
Downloads 429 (182,532)

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Portfolio Optimization, Cardinality Constraints, Differentiable Neural Networks, Decision-based Learning, End-to-end Optimization

2.

Cardinality Constrained Risk Parity Portfolios

Anis, Hassan T., and Roy H. Kwon. "Cardinality-Constrained Risk Parity Portfolios." European Journal of Operational Research (2022).
Number of pages: 26 Posted: 18 Mar 2021 Last Revised: 28 Mar 2022
Hassan Anis and Roy Kwon
University of Toronto, Mechanical and Industrial Engineering Department and University of Toronto - Department of Mechanical and Industrial Engineering
Downloads 319 (242,568)

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Integer Programming, Conic Optimization, Portfolio Optimization, Equal Risk Contributions, Risk Parity, Cardinality Constraints

3.

A Shrinking Horizon Optimal Liquidation Framework with Lower Partial Moments Criteria

Journal of Computational Finance (Forthcoming)
Number of pages: 34 Posted: 12 Sep 2019
Hassan Anis and Roy Kwon
University of Toronto, Mechanical and Industrial Engineering Department and University of Toronto - Department of Mechanical and Industrial Engineering
Downloads 173 (444,808)

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Intraday Trading, Optimal Liquidation, Shrinking Horizon, Lower Partial Moments, Stochastic Programming