Financial Services
Encompassing a broad range of offerings, financial services play a pivotal role in facilitating transactions, managing risks, and supporting economic growth. Constant innovation and adaptability characterize this industry.
A Highly Efficient Algorithm for Solving Exclusive Lasso Problems
M. Lin, Y. Yuan, D. Sun, and K-C.Toh, M. Lin, Y. Yuan, D. Sun, and K-C.Toh, 2023, Optimization Methods and Software, Optimization Methods and Software, https://www.tandfonline.com/doi/full/10.1080/10556788.2023.2253356
Achieving Efficiency in Black-box Simulation of Distribution Tails with Self-structuring Importance Samplers
A. Deo, K. Murthy, 2023, Operations Research, https://pubsonline.informs.org/doi/10.1287/opre.2021.0331
Aggregating Heavy-tailed Random Vectors: from Finite Sums to Levy Processess
B. Das and V. Fasen-Hartmann, 2023, Under review (Annales de l’institut Henri Poincaré Probabilités et Statistiques), https://arxiv.org/abs/2301.10423
Importance Sampling for Minimization of Tail Risks: A tutorial
A. Deo, K. Murthy, 2023, Winter Simulation Conference
Inference for Heavy-Tailed Data with Gaussian Dependence
B. Das, 2023, Under review (Econometrics and Statistics), https://arxiv.org/abs/2305.05520
On Heavy-tailed Risks under Gaussian Copula: The Effects of Marginal Transformation
B. Das and V. Fasen-Hartmann, 2023, Under review (Journal of Multivariate Analysis), https://arxiv.org/abs/2304.05004
Systemic Risk in Financial Networks: The Effects of Asymptotic Independence
B. Das and V. Fasen-Hartmann, 2023, Under review (Finance and Stochastics), https://arxiv.org/abs/2309.15511
A Cooperative Bargaining Framework for Decentralized Portfolio Optimization
F. Benita, S. Nasini, R. Nessah, 2022, Journal of Mathematical Economics, 103, 102789, https://doi.org/10.1016/j.jmateco.2022.102789
Combining Retrospective Approximation with Importance Sampling for Optimizing Conditional Value-at-risk
A. Deo, K. Murthy, T. Sarkerpp. , 2022, Winter Simulation Conference, 891 – 902, https://ieeexplore.ieee.org/stamp/stamp.jsp?arnumber=10015306
Support Vector Machines as Bayes' Classifiers
P. Jackson, 2022, Operations Research Letters, 50, No. 5, 423-429