CALÈS , Ludovic

The aim of this paper is to study the distribution of portfolio returns across portfolios, and for given asset returns. We focus on the most common type of investment, considering portfolios whose weights are non-negative and sum up to 1. We provide algorithms and formulas from computational geometry and the literature on splines to compute the...

We examine volume computation of general-dimensional polytopes and more general convex bodies, defined as the intersection of a simplex by a family of parallel hyperplanes, and another family of parallel hyperplanes or a family of concentric ellipsoids. Such convex bodies appear in modeling and predicting financial crises. The impact of crises...

We examine volume computation of general-dimensional polytopes and more general convex bodies, defined by the intersection of a simplex by a family of parallel hyperplanes, and another family of parallel hyperplanes or a family of concentric ellipsoids. Such convex bodies appear in modeling and predicting financial crises. The impact of crises...