Yiyong Feng

11 papers Misc 3Journal 7Unranked 1
YearRankTypeTitle / Venue / Authors
2020 J jnl
General sparse risk parity portfolio design via successive convex optimization.
Signal Process.
Linlong Wu, Yiyong Feng, Daniel P. Palomar
2018 J jnl
Optimization Methods for Financial Index Tracking: From Theory to Practice.
Found. Trends Optim.
Konstantinos Benidis, Yiyong Feng, Daniel P. Palomar
2018 J jnl
Sparse Portfolios for High-Dimensional Financial Index Tracking.
IEEE Trans. Signal Process.
Konstantinos Benidis, Yiyong Feng, Daniel P. Palomar
2016 J jnl
A Signal Processing Perspective of Financial Engineering.
Found. Trends Signal Process.
Yiyong Feng, Daniel P. Palomar
2016 Misc conf
Portfolio optimization with asset selection and risk parity control.
ICASSP
Yiyong Feng, Daniel Pérez Palomar
2015 Misc conf
Linear support vector machines with normalizations.
ICASSP
Yiyong Feng, Daniel Pérez Palomar
2015 J jnl
Normalization of Linear Support Vector Machines.
IEEE Trans. Signal Process.
Yiyong Feng, Daniel P. Palomar
2015 J jnl
Robust Optimization of Order Execution.
IEEE Trans. Signal Process.
Yiyong Feng, Daniel Pérez Palomar, Francisco Rubio
2015 J jnl
SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design.
IEEE Trans. Signal Process.
Yiyong Feng, Daniel Pérez Palomar
2013 Misc conf
Robust order execution under box uncertainty sets.
ACSSC
Yiyong Feng, Daniel P. Palomar
2012 — conf
Optimal order execution for algorithmic trading: A CVaR approach.
SPAWC
Yiyong Feng, Francisco Rubio, Daniel Pérez Palomar