Search Results - "Luxenberg, Eric"

Discovery of surrogate agonists for visceral fat Treg cells that modulate metabolic indices in vivo by Fernandes, Ricardo A, Li, Chaoran, Wang, Gang, Yang, Xinbo, Savvides, Christina S, Glassman, Caleb R, Dong, Shen, Luxenberg, Eric, Sibener, Leah V, Birnbaum, Michael E, Benoist, Christophe, Mathis, Diane, Garcia, K Christopher

“…T regulatory (Treg) cells play vital roles in modulating immunity and tissue homeostasis. Their actions depend on TCR recognition of peptide-MHC molecules; yet…”
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Portfolio construction with Gaussian mixture returns and exponential utility via convex optimization by Luxenberg, Eric, Boyd, Stephen

“…We consider the problem of choosing an optimal portfolio, assuming the asset returns have a Gaussian mixture distribution, with the objective of maximizing…”
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Robust Bond Portfolio Construction via Convex–Concave Saddle Point Optimization by Luxenberg, Eric, Schiele, Philipp, Boyd, Stephen

“…The minimum (worst case) value of a long-only portfolio of bonds, over a convex set of yield curves and spreads, can be estimated by its sensitivities to the…”
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Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization by Luxenberg, Eric, Schiele, Philipp, Boyd, Stephen

“…We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We…”
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Specifying and Solving Robust Empirical Risk Minimization Problems Using CVXPY by Luxenberg, Eric, Malik, Dhruv, Li, Yuanzhi, Singh, Aarti, Boyd, Stephen

“…We consider robust empirical risk minimization (ERM), where model parameters are chosen to minimize the worst-case empirical loss when each data point varies…”
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Portfolio Construction Via Convex Optimization by Luxenberg, Eric Sager

“…A portfolio is a collection of investments, such as stocks, bonds, and other alternatives assets that an investor holds, in addition to short positions, where…”
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Exponentially Weighted Moving Models by Luxenberg, Eric, Boyd, Stephen

“…An exponentially weighted moving model (EWMM) for a vector time series fits a new data model each time period, based on an exponentially fading loss function…”
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Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization by Luxenberg, Eric, Boyd, Stephen

“…We consider the problem of choosing an optimal portfolio, assuming the asset returns have a Gaussian mixture (GM) distribution, with the objective of…”
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Disciplined Saddle Programming by Schiele, Philipp, Luxenberg, Eric, Boyd, Stephen

“…We consider convex-concave saddle point problems, and more generally convex optimization problems we refer to as $\textit{saddle problems}$, which include the…”
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Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization by Luxenberg, Eric, Schiele, Philipp, Boyd, Stephen

“…The minimum (worst case) value of a long-only portfolio of bonds, over a convex set of yield curves and spreads, can be estimated by its sensitivities to the…”
Get full text

Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization by Luxenberg, Eric, Schiele, Philipp, Boyd, Stephen

“…We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We…”
Get full text

Specifying and Solving Robust Empirical Risk Minimization Problems Using CVXPY by Luxenberg, Eric, Malik, Dhruv, Li, Yuanzhi, Singh, Aarti, Boyd, Stephen

“…We consider robust empirical risk minimization (ERM), where model parameters are chosen to minimize the worst-case empirical loss when each data point varies…”
Get full text

Strategic Asset Allocation with Illiquid Alternatives by Luxenberg, Eric, Boyd, Stephen, Kochenderfer, Mykel, van Beek, Misha, Cao, Wen, Diamond, Steven, Ulitsky, Alex, Menda, Kunal, Vairavamurthy, Vidy

“…We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio…”
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