default author photo

Philipp Schiele

Ludwig Maximilian University of Munich (LMU)

  • Ludwig Maximilian University of Munich (LMU)

SCHOLARLY PAPERS

4

DOWNLOADS

289

TOTAL CITATIONS

3

Scholarly Papers (4)

Actions:
Email selected abstracts
1.

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

Number of pages: 30 Posted: 11 Dec 2022
Eric Luxenberg, Philipp Schiele and Stephen Boyd
Stanford University - Department of Electrical Engineering, Ludwig Maximilian University of Munich (LMU) and Stanford University - Department of Electrical Engineering
Downloads 144 (521,245)

Abstract:

Loading...

Robust optimization, portfolio optimization, saddle point, yield curve

2.

Portfolio Optimization with Cumulative Prospect Theory Utility Via Convex Optimization

Number of pages: 23 Posted: 21 Sep 2022
Eric Luxenberg, Philipp Schiele and Stephen Boyd
Stanford University - Department of Electrical Engineering, Ludwig Maximilian University of Munich (LMU) and Stanford University - Department of Electrical Engineering
Downloads 85 (619,719)

Abstract:

Loading...

portfolio optimization, cumulative prospect theory, convex optimization

3.

Disciplined Saddle Programming

Number of pages: 34 Posted: 13 Feb 2024
Philipp Schiele, Eric Luxenberg and Stephen Boyd
Ludwig Maximilian University of Munich (LMU), Stanford University - Department of Electrical Engineering and Stanford University - Department of Electrical Engineering
Downloads 60 (961,006)
Citation 3

Abstract:

Loading...

robust optimization, saddle point, convex optimization

4.

Markowitz Portfolio Construction at Seventy

Posted: 13 Feb 2024
Stephen Boyd, Kasper Johansson, Ronald Kahn, Philipp Schiele and Thomas Schmelzer
Stanford University - Department of Electrical Engineering, Stanford University, BlackRock, Ludwig Maximilian University of Munich (LMU) and ADIA

Abstract:

Loading...

Portfolio Optimization, Convex Optimization, Mean-Variance Optimization