Optimal order execution for algorithmic trading: A CVaR approach. - Yiyong Feng; Francisco Rubio 001; Daniel Pérez Palomar (SPAWC, 2012)

Robust order execution under box uncertainty sets. - Yiyong Feng; Daniel P. Palomar (ACSSC, 2013)

Linear support vector machines with normalizations. - Yiyong Feng; Daniel Pérez Palomar (ICASSP, 2015)

Normalization of Linear Support Vector Machines. - Yiyong Feng; Daniel P. Palomar (IEEE Trans. Signal Process., 2015)

SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design. - Yiyong Feng; Daniel Pérez Palomar (IEEE Trans. Signal Process., 2015)

Robust Optimization of Order Execution. - Yiyong Feng; Daniel Pérez Palomar; Francisco Rubio 001 (IEEE Trans. Signal Process., 2015)

Portfolio optimization with asset selection and risk parity control. - Yiyong Feng; Daniel Pérez Palomar (ICASSP, 2016)

A Signal Processing Perspective of Financial Engineering. - Yiyong Feng; Daniel P. Palomar (Found. Trends Signal Process., 2016)

Optimization Methods for Financial Index Tracking: From Theory to Practice. - Konstantinos Benidis; Yiyong Feng; Daniel P. Palomar (Found. Trends Optim., 2018)

Sparse Portfolios for High-Dimensional Financial Index Tracking. - Konstantinos Benidis; Yiyong Feng; Daniel P. Palomar (IEEE Trans. Signal Process., 2018)

General sparse risk parity portfolio design via successive convex optimization. - Linlong Wu; Yiyong Feng; Daniel P. Palomar (Signal Process., 2020)