publications

2024

1. 

   How Inverse Conditional Flows Can Serve as a Substitute for Distributional Regression

   Lucas Kook, Chris Kolb, Philipp Schiele, and 8 more authors

   In Proceedings of the the Conference on Uncertainty in Artificial Intelligence (UAI) 2024

   Bib

   @inproceedings{kolb2024drift,
     title = {How Inverse Conditional Flows Can Serve as a Substitute for Distributional Regression},
     author = {Kook, Lucas and Kolb, Chris and Schiele, Philipp and Dold, Daniel and Arpogaus, Marcel and Fritz, Cornelius and Baumann, Philipp and Kopper, Philipp and Pielok, Tobias and Dorigatti, Emilio and Rügamer, David},
     booktitle = {Proceedings of the the Conference on Uncertainty in Artificial Intelligence (UAI)},
     year = {2024},
   }

2. 

   Markowitz Portfolio Construction at Seventy

   Stephen Boyd, Kasper Johansson, Ronald Kahn, and 2 more authors

   Journal of Portfolio Management 2024

   arXiv Bib Code

   @article{boyd2024markowitz,
     author = {Boyd, Stephen and Johansson, Kasper and Kahn, Ronald and Schiele, Philipp and Schmelzer, Thomas},
     title = {Markowitz Portfolio Construction at Seventy},
     journal = {Journal of Portfolio Management},
     year = {2024},
     doi = {10.48550/arXiv.2401.05080},
   }

3. 

   Disciplined Saddle Programming

   Philipp Schiele, Eric Luxenberg, and Stephen Boyd

   Transactions on Machine Learning Research 2024

   Bib PDF Code

   @article{schiele2024dsp,
     author = {Schiele, Philipp and Luxenberg, Eric and Boyd, Stephen},
     title = {Disciplined Saddle Programming},
     journal = {Transactions on Machine Learning Research},
     year = {2024},
     pages = {1--25},
   }

4. 

   Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

   Eric Luxenberg, Philipp Schiele, and Stephen Boyd

   Journal of Optimization Theory and Applications 2024

   Bib HTML PDF Code

   @article{luxenberg2024robustbond,
     author = {Luxenberg, Eric and Schiele, Philipp and Boyd, Stephen},
     title = {Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization},
     journal = {Journal of Optimization Theory and Applications},
     pages = {1--27},
     publisher = {Springer},
     year = {2024},
     doi = {https://doi.org/10.1007/s10957-024-02436-z},
   }

5. 

   Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

   Eric Luxenberg, Philipp Schiele, and Stephen Boyd

   Computational Economics 2024

   Bib HTML PDF Code

   @article{luxenberg2024cptopt,
     author = {Luxenberg, Eric and Schiele, Philipp and Boyd, Stephen},
     title = {Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization},
     journal = {Computational Economics},
     pages = {1--21},
     publisher = {Springer},
     year = {2024},
     doi = {https://doi.org/10.1007/s10614-024-10556-x},
   }

2022

1. 

   ARMA Cell: A Modular and Effective Approach for Neural Autoregressive Modeling

   Philipp Schiele, Christoph Berninger, and David Rügamer

   Aug 2022

   arXiv Bib Code

   @misc{schiele2022armacell,
     author = {Schiele, Philipp and Berninger, Christoph and R\"ugamer, David},
     doi = {10.48550/ARXIV.2208.14919},
     title = {{ARMA Cell: A Modular and Effective Approach for Neural Autoregressive Modeling}},
     year = {2022},
     month = aug
   }