Working Papers

  1. Planning Online Advertising Using Lorenz Curves. Submitted - Revision requested. 2017. With J. Turner.
  2. Data-Driven Optimization of Ambiguous Reward-Risk Ratio Measures. Submitted. 2017. With R. Ji.
  3. Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. Submitted. 2016. With S.-Y. Chen.
  4. Analyzing the Response to Epidemics: Concept of Evidence-Based Haddon Matrix. Submitted. 2017. With A. Anparasan.
  5. Regularized Deterministic and Stochastic Dual Dynamic Programming and Application to Portfolio Selection with Direct Transaction and Market Impact Costs. Submitted. 2017. With V. Guigues, W. Tekaya.
  6. Interactive Portfolio Optimization Using Mean-Gini Criteria. Submitted. 2017. With R. Ji, S. Prasad.
  7. Dynamic Portfolio Optimization with Risk-Aversion Adjustment Utilizing Technical Indicators. 2017. With R. Ji, S. Prasad.
  8. Relaxations for Probabilistically Constrained Stochastic Programming Problems: Review and Extensions. Submitted. 2017. With A. Prekopa.
  9. Recent Advances in the Theory and Practice of Logical Analysis of Data. Submitted. 2017. With V. Lozin, I. Lozina, A. Ragab, S. Yacout.
  10. Stochastic Portfolio Optimization Under Skewness Conditions.
  11. Dynamic Multistage Asset Liability Management. With A. Delgado de Oliveira, T. Filomena.
  12. Combinatorial Data Mining Method for Multi-Portfolio Stochastic asset Allocation. With R. Ji