Yau's affine-normal descent enables scalable unrestricted higher-moment portfolio optimization by working directly with the return matrix and exploiting quartic structure for exact oracles and line searches.
//arxiv.org/abs/2604.01163
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Polylab provides a MATLAB toolbox for multivariate polynomials with CPU/GPU support, explicit variable handling, and affine-normal direction computation via automatic differentiation and log-determinant methods.
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Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization
Yau's affine-normal descent enables scalable unrestricted higher-moment portfolio optimization by working directly with the return matrix and exploiting quartic structure for exact oracles and line searches.
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Polylab: A MATLAB Toolbox for Multivariate Polynomial Modeling
Polylab provides a MATLAB toolbox for multivariate polynomials with CPU/GPU support, explicit variable handling, and affine-normal direction computation via automatic differentiation and log-determinant methods.