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Michael Ho
Michael Ho
Unknown affiliation
Verified email at uci.edu
Title
Cited by
Cited by
Year
Weighted elastic net penalized mean-variance portfolio design and computation
M Ho, Z Sun, J Xin
SIAM Journal on Financial Mathematics 6 (1), 1220-1244, 2015
592015
Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
M Ho, J Xin
Mathematical Programming 176, 247-278, 2019
22019
Sparse Kalman filtering approaches to covariance estimation from high frequency data in the presence of jumps
M Ho, J Xin
arXiv preprint arXiv:1602.02185, 2016
12016
Sparse Optimization Methods and Statistical Modeling with Applications to Finance
M Ho
UC Irvine, 2016
2016
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Articles 1–4