publications

2024

  1. sparse_inv_cov.png
    Convex Optimization in Quantitative Finance
    Stephen Boyd, Kasper Johansson, and Philipp Schiele
    2024
    Working Slides, Stanford University
  2. NAV.png
    A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages
    Kasper Johansson, Stephen Boyd, and Thomas Schmelzer
    2024
    Working Paper, Stanford University
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    Markowitz Portfolio Construction at Seventy
    Stephen Boyd, Kasper Johansson, Ronald Kahn, and 2 more authors
    Journal of Portfolio Management, Harry Markowitz Special Issue, 2024

2023

  1. SA_visualize_win2.png
    Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
    Kasper Johansson, Thomas Schmelzer, and Stephen Boyd
    2023
    Working Paper, Stanford University
  2. ewma_weights.png
    A Simple Method for Predicting Covariance Matrices of Financial Returns
    Kasper Johansson, Mehmet G. Ogut, Markus Pelger, and 2 more authors
    Foundations and Trends® in Econometrics, 2023
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    Mixed Observable RRT: Multi-Agent Mission-Planning in Partially Observable Environments
    Kasper Johansson, Ugo Rosolia, Wyatt Ubellacker, and 2 more authors
    In 2023 IEEE International Conference on Robotics and Automation (ICRA), 2023
  4. NetworkWithDrone.png
    Multi-armed bandit learning on a graph
    Tianpeng Zhang, Kasper Johansson, and Na Li
    In 2023 57th Annual Conference on Information Sciences and Systems (CISS), 2023