Machine Learning and AI in Finance

Graph Machine Learning for Asset Pricing: Traversing the Supply Chain and Factor Zoo (with J. Sidaoui and J. Zou). (preprint)

Exact Error in Matrix Completion: Approximately Low-Rank Structures and Missing Blocks (with M. Stojnic). (preprint)

Performance Analysis of Matrix Completion Optimization with Applications to Block Causal Inference (with M. Stojnic). (preprint)

Causal Inference (C-inf) -- closed form expressions for worst case typical phase transitions (with M. Stojnic). Proceedings of the 2023 IEEE International Symposium on Information Theory  (extended version preprint).

Phase Transitions: Explicit relations for sparse vector and low rank recovery (with M. Stojnic).  Proceedings of the 2023 IEEE International Symposium on Information Theory (ISIT). Extended version titled "Sparse vector and low rank recovery phase transitions: uncovering the explicit relations". Forthcoming at the IEEE Transactions on Information Theory.

A Continuous Time Framework for Sequential Goal-Based Wealth Management (with Y. Zhang). (preprint). Forthcoming at Management Science.

Personalized Robo-Advising: Enhancing Investment through Client Interactions (with S. Olafsson and T. Zariphopoulou). Management Science, Vol. 68, No. 4, 2485–-2512, 2022.

Robo-advising: Learning Investor's Risk Preferences via Portfolio Choices (with H. Alsabah, O. Ruiz Lacedelli and M. Stern). Journal of Financial Econometrics. Vol 19, No. 2, 369–392, 2021. Invited Paper for the Special Issue on Recent developments/applications in machine learning, big data, and fintech.