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05/13/2021
The cross-sectional distribution of portfolio returns and applications
This paper aims to develop new mathematical and computational tools for ...
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03/19/2021
Modeling of crisis periods in stock markets
We exploit a recent computational framework to model and detect financia...
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12/09/2020
Modeling asset allocation strategies and a new portfolio performance score
We discuss a powerful, geometric representation of financial portfolios ...
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05/21/2019
Voronoi diagram of orthogonal polyhedra in two and three dimensions
Voronoi diagrams are a fundamental geometric data structure for obtainin...
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05/14/2019
Practical Volume Estimation by a New Annealing Schedule for Cooling Convex Bodies
We study the problem of estimating the volume of convex polytopes, focus...
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02/23/2019
Near neighbor preserving dimension reduction for doubling subsets of ℓ_1
Randomized dimensionality reduction has been recognized as one of the fu...
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04/30/2018
Algorithms for Deciding Membership in Polytopes of General Dimension
We study the fundamental problem of polytope membership aiming at large ...
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03/15/2018
Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises
We examine volume computation of general-dimensional polytopes and more ...
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12/18/2017
