Omar Larré

• Chief Investment Officer at Fintual

We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asset allocation problem in which each asset class is accessed through a passive (index) fund. The asset-class weights are determined by solving an optimizat...

This paper continues the study of equilibria for flows over time in the fluid queueing model recently considered by Koch and Skutella [10]. We provide a constructive proof for the existence and uniqueness of equilibria in the case of a single origin-destination with piecewise constant inflow rates, through a detailed analysis of the static flows ob...

After a sequence of improvements Boyd, Sitters, van der Ster, and Stougie proved that any 2-connected graph whose n vertices have degree 3, i.e., a cubic 2-connected graph, has a Hamiltonian tour of length at most (4/3)n, establishing in particular that the integrality gap of the subtour LP is at most 4/3 for cubic 2-connected graphs and matching t...

Network flows that vary over time arise naturally when modeling rapidly evolving systems such as the Internet. In this paper, we continue the study of equilibria for flows over time in the single-source single-sink deterministic queuing model proposed by Koch and Skutella. We give a constructive proof for the existence and uniqueness of equilibria...