Working Papers

 
  1. Data-Driven Optimization of Ambiguous Reward-Risk Ratio Measures. Revised and resubmitted. 2019. With R. Ji.
  2. Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. Revised and resubmitted. 2019. With S.-Y. Chen.
  3. Regularized Deterministic and Stochastic Dual Dynamic Programming and Application to Portfolio Selection with Direct Transaction and Market Impact Costs. Submitted. 2018. With V. Guigues, W. Tekaya.
  4. Project Portfolio Selection: Disjunctive Stochastic Programming Formulations with Joint Chance Constraint. Revised and resubmitted. 2018. With J. Kettunen.
  5. Chance-Constrained Programming with Decision-Dependent Uncertainty. Submitted. 2019. With F. Margot, A.D. de Oliveira.
  6. Data-Driven Distributionally Robust Chance-Constrained Optimization with Wasserstein Metric. With R. Ji. 2018. Submitted.
  7. Distributionally Robust Optimization under Decision-Dependent Ambiguity Set with an Application to Machine Scheduling. Submitted. 2019. With N. Noyan, G. Rudolf.
  8. Distributionally Robust Optimization AUC Support Vector Machine Models. 2019. With W. Ma.
  9. A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs. With R. Karimi, J. Cheng.