Publications (22)
Self-scaled barrier functions on symmetric cones and their classification
Raphael Hauser, Osman Guler
Strong Duality of Linear Optimisation Problems over Measure Spaces
Raphael Hauser, Sergey Shahverdyan
Regression techniques for Portfolio Optimisation using MOSEK
Thomas Schmelzer, Raphael Hauser, Erling Andersen +1
Seven Sins in Portfolio Optimization
Thomas Schmelzer, Raphael Hauser
Kalman Filtering with Equality and Inequality State Constraints
Nachi Gupta, Raphael Hauser
Robust Portfolio Optimisation with Specified Competitors
Gonçalo Simões, Mark McDonald, Stacy Williams +2
Using Artificial Market Models to Forecast Financial Time-Series
Nachi Gupta, Raphael Hauser, Neil F. Johnson
A General Duality Relation with Applications in Quantitative Risk Management
Raphael Hauser, Sergey Shahverdyan, Paul Embrechts
Distribution of Aligned Letter Pairs in Optimal Alignments of Random Sequences
Raphael Hauser, Heinrich Matzinger
An Upper Bound on the Convergence Rate of a Second Functional in Optimal Sequence Alignment
Raphael Hauser, Heinrich Matzinger, Ionel Popescu
The existence and uniqueness of a power price equilibrium
Miha Troha, Raphael Hauser
The S-Procedure via Dual Cone Calculus
Raphael Hauser
A Monte Carlo Approach to the Fluctuation Problem in Optimal Alignments of Random Strings
Saba Amsalu, Raphael Hauser, Heinrich Matzinger
Letter Change Bias and Local Uniqueness in Optimal Sequence Alignments
Raphael Hauser, Heinrich Matzinger
A New Approach to Model Free Option Pricing
Raphael Hauser, Sergey Shahverdyan
Relative Robust Portfolio Optimization
Raphael Hauser, Vijay Krishnamurthy, Reha Tütüncü
Low-Rank Boolean Matrix Approximation by Integer Programming
Reka Kovacs, Oktay Gunluk, Raphael Hauser
The impact of startup costs and the grid operator on the power price equilibrium
Miha Troha, Raphael Hauser
3D Image Reconstruction from X-Ray Measurements with Overlap
Maria Klodt, Raphael Hauser
Calculation of a power price equilibrium
Miha Troha, Raphael Hauser
Inferring the Composition of a Trader Population in a Financial Market
Nachi Gupta, Raphael Hauser, Neil F. Johnson
Quantifying the Estimation Error of Principal Components
Raphael Hauser, Raul Kangro, Jüri Lember +1