Sarah Perrin

University of Paris-Saclay - Ecole Polytechnique

55 Avenue de Paris

Versailles, 78000

France

SCHOLARLY PAPERS

1

DOWNLOADS

508

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (1)

1.

Machine Learning Optimization Algorithms & Portfolio Allocation

Number of pages: 66 Posted: 25 Jul 2019
Sarah Perrin and Thierry Roncalli
University of Paris-Saclay - Ecole Polytechnique and Amundi Asset Management
Downloads 508 (58,751)
Citation 2

Abstract:

Loading...

portfolio allocation, mean-variance optimization, risk budgeting optimization, quadratic programming, coordinate descent, alternating direction method of multipliers, proximal gradient method, Dykstra's algorithm