publications

2025

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    Convex Optimization in Quantitative Finance
    Kasper Johansson
    2025
    PhD Dissertation Thesis, Stanford University
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    A Tax-Efficient Model Predictive Control Policy for Retirement Funding
    Kasper Johansson, and Stephen Boyd
    2025
    Working Paper, Stanford University

2024

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    Simple and Effective Portfolio Construction with Crypto Assets
    Kasper Johansson, and Stephen Boyd
    2024
    Working Paper, Stanford University
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    Convex Optimization in Quantitative Finance
    Stephen Boyd, and  Philipp Schiel Kasper Johanssone
    2024
    Working Slides, Stanford University
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    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

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    Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
    Kasper Johansson, Thomas Schmelzer, and Stephen Boyd
    2023
    Working Paper, Stanford University
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    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
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    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