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(2020). Online Robust Reduced-Rank Regression. In Proc. of the 11th IEEE Sensor Array and Multichannel Signal Processing Workshop (SAM). Hangzhou, China. 8-11 June 2020.

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The reduced-rank regression (RRR) model is widely used in data analytics where the response variables are believed to depend on a few …

We introduce the general optimal stochastic control setting in the case of portfolio selection. We implement an Optimal Control …

We introduce the general optimal stochastic control setting in the case of portfolio selection. We propose a two-step algorithm to …

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Online Robust Reduced-Rank Regression via Stochastic Majorization Minimization

Optimal portfolio selection via dimensional reduction in a stochastic optional control setting

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  • Department of Econometrics and Business Statistics
    Monash University
    Menzies, 20 Chancellors Walk
    Clayton, VIC, 3800
    Australia