2020
Forecast reconciliation with linear combinations (abstract)
Collections of time series often exhibit hierarchical structures, which are linear constraints that allow higher levels of series to be …
Online Robust Reduced-Rank Regression
The reduced-rank regression (RRR) model is widely used in data analytics where the response variables are believed to depend on a few …
2019
Dimension Reduction in Stochastic Optimal Control - 2nd
We introduce the general optimal stochastic control setting in the case of portfolio selection. We implement an Optimal Control …
Dimension Reduction in Stochastic Optimal Control
We introduce the general optimal stochastic control setting in the case of portfolio selection. We propose a two-step algorithm to …
