Yiyong Feng

Publication Activity (10 Years)

Years Active: 2012-2020
Publications (10 Years): 5

Top Topics

Linear Support Vector Machines

Optimization Method

Portfolio Optimization

Portfolio Selection

Top Venues

IEEE Trans. Signal Process.

Signal Process.

Publications

Linlong Wu, Yiyong Feng, Daniel P. Palomar
General sparse risk parity portfolio design via successive convex optimization. Signal Process. 170 (2020)
Konstantinos Benidis, Yiyong Feng, Daniel P. Palomar
Optimization Methods for Financial Index Tracking: From Theory to Practice. Found. Trends Optim. 3 (3) (2018)
Konstantinos Benidis, Yiyong Feng, Daniel P. Palomar
Sparse Portfolios for High-Dimensional Financial Index Tracking. IEEE Trans. Signal Process. 66 (1) (2018)
Yiyong Feng, Daniel P. Palomar
A Signal Processing Perspective of Financial Engineering. Found. Trends Signal Process. 9 (1-2) (2016)
Yiyong Feng, Daniel Pérez Palomar
Portfolio optimization with asset selection and risk parity control. ICASSP (2016)
Yiyong Feng, Daniel Pérez Palomar
Linear support vector machines with normalizations. ICASSP (2015)
Yiyong Feng, Daniel Pérez Palomar, Francisco Rubio
Robust Optimization of Order Execution. IEEE Trans. Signal Process. 63 (4) (2015)
Yiyong Feng, Daniel P. Palomar
Normalization of Linear Support Vector Machines. IEEE Trans. Signal Process. 63 (17) (2015)
Yiyong Feng, Daniel Pérez Palomar
SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design. IEEE Trans. Signal Process. 63 (19) (2015)
Yiyong Feng, Daniel P. Palomar
Robust order execution under box uncertainty sets. ACSSC (2013)
Yiyong Feng, Francisco Rubio, Daniel Pérez Palomar
Optimal order execution for algorithmic trading: A CVaR approach. SPAWC (2012)