Enzo Busseti
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Assistant Professor, Dynamical Systems, Control, and Optimization
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Publications
N. Moehle, E. Busseti, S. Boyd, and M. Wytock. Large Scale Optimization in Supply Chains and Smart Manufacturing, chapter Dynamic Energy Management. Springer, 2019.
A. Agrawal, S. Barratt, S. Boyd, E. Busseti, and W. Moursi. Differentiating through a cone program. Journal of Applied and Numerical Optimization, 1(2):107–115, 2019. Special issue on recent developments in deterministic and stochastic numerical optimization, dedicated to Professor Boris Polyak.
E. Busseti, W. Moursi, and S. Boyd. Solution refinement at regular points of conic problems. Computational Optimization and Applications, 74:627– 643, 2019.
E. Busseti. Portfolio Management and Optimal Execution via Convex Optimization. PhD thesis, Stanford University, 2018.
S. Boyd, E. Busseti, S. Diamond, R. Kahn, K. Koh, P. Nystrup, and J. Speth. Multi-period trading via convex optimization. Foundations and Trends in Optimization, 3(1):1–76, 2017.
E. Busseti, E. Ryu, and S. Boyd. Risk-constrained Kelly gambling. Journal of Investing, 25(3):118–134, 2016.
E. Busseti and F. Lillo. Calibration and optimal execution of financial transactions in the presence of transient market impact. Journal of Statistical Mechanics: Theory and Experiment, 9:09010–09037, 2012.
Technical reports
E. Busseti, S. Boyd. Volume-weighted average price optimal execution. Stanford University, 2015.
E. Busseti, H. Javadi, and R. Takapoui. Douglas-Rachford splitting for cardinality constrained quadratic programming. Stanford University, 2015.
E. Busseti, I. Osband, and S. Wong. Deep learning for time series modeling. Stanford University, 2012.