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Jack Gindi
affiliation not provided to SSRN
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SCHOLARLY PAPERS
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Scholarly Papers (1)
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1.
Portfolio Construction as Linearly Constrained Separable Optimization
Number of pages: 24
Posted: 01 Apr 2021
Last Revised: 01 Jul 2022
Nicholas Moehle
, Jack Gindi,
Stephen Boyd
and
Mykel Kochenderfer
Independent,
affiliation not provided to SSRN
, Stanford University - Department of Electrical Engineering and Stanford University
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Abstract:
optimization, portfolio construction, ADMM, quantitative finance
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