This code is the implementation of the example in our paper on portfolio construction using stratified models.
If you use lrsm_portfolio, please cite the following paper:
@article{lrsm_portfolio,
author = {Jonathan Tuck and Shane Barratt and Stephen Boyd},
title = {Portfolio construction using stratified models},
journal = {arXiv preprint arXiv:2101.04113},
year = {2021},
}
In addition, if you refer to Laplacian-regularized stratified models, please cite the following paper, and others:
@article{strat_models,
author = {Jonathan Tuck and Shane Barratt and Stephen Boyd},
title = {A Distributed Method for Fitting {L}aplacian Regularized Stratified Models},
journal = {Journal of Machine Learning Research},
year = {2021},
note = {To appear}
}
@article{eigen_strat_models,
author = {Jonathan Tuck and Stephen Boyd},
title = {Eigen-stratified models},
journal = {Optimization and Engineering},
year = {2021}
}
@article{cov_strat_models,
author = {Jonathan Tuck and Stephen Boyd},
title = {Fitting {L}aplacian Regularized Stratified {G}aussian Models},
journal = {arXiv},
year = {2020},
note = {Manuscript}
}
@article{mm_dist_lapl,
author = {Jonathan Tuck and David Hallac and Stephen Boyd},
title = {Distributed Majorization-Minimization for {L}aplacian Regularized Problems},
journal = {IEEE/CAA Journal of Automatica Sinica},
year = {2019},
}
This repository carries a permissive Apache 2.0 license.