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Kasper Johansson

Stanford University

367 Panama St

Stanford, CA 94305

United States

  • Stanford University

SCHOLARLY PAPERS

6

DOWNLOADS

1,099

TOTAL CITATIONS

3

Scholarly Papers (6)

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1.

A Simple Method for Predicting Covariance Matrices of Financial Returns

Foundations and Trends in Econometrics
Number of pages: 91 Posted: 27 Dec 2023
Kasper Johansson, Mehmet Giray Ogut, Markus Pelger, Thomas Schmelzer and Stephen Boyd
Stanford University, Stanford University - School of Engineering, Stanford University - Department of Management Science & Engineering, Stanford University and Stanford University - Department of Electrical Engineering
Downloads 581 (116,893)
Citation 3

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2.

Simple and Effective Portfolio Construction with Crypto Assets

Number of pages: 27 Posted: 13 Dec 2024
Kasper Johansson and Stephen Boyd
Stanford University and Stanford University - Department of Electrical Engineering
Downloads 219 (354,560)

Abstract:

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3.

Finding Moving-Band Statistical Arbitrages Convex-Concave Optimization

Number of pages: 27 Posted: 11 Mar 2024
Kasper Johansson, Thomas Schmelzer and Stephen Boyd
Stanford University, ADIA and Stanford University - Department of Electrical Engineering
Downloads 197 (391,686)

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4.

A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages

Number of pages: 20 Posted: 15 Jan 2025
Kasper Johansson, Thomas Schmelzer and Stephen Boyd
Stanford University, ADIA and Stanford University - Department of Electrical Engineering
Downloads 53 (1,063,489)

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5.

A Tax-Efficient Model Predictive Control Policy for Retirement Funding

Number of pages: 46 Posted: 18 Jul 2025
Kasper Johansson and Stephen Boyd
Stanford University and Stanford University - Department of Electrical Engineering
Downloads 49 (1,097,529)

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6.

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

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Portfolio Optimization, Convex Optimization, Mean-Variance Optimization