Robust pension fund management
with Alfred Ma
CORC Technical Report TR-2006-05
Under review in Operations Research
A behavioral finance based tick-by-tick model for price and volume
CORC Technical Report TR-2008-03
Under review in Computational Finance
Robust portfolio management
with D. Goldfarb and E. Erdogan
CORC Technical Report TR-2004-11
Computational Finance, 11(4), pp. 71-98, 2008
Cash Flow management: a risk management approach
CORC Technical Report TR-2008-02
Under review in North American Actuarial Journal
Fast gradient descent method for mean-CVaR optimization
Under review in OR Letters
Robust portfolio selection problems
with D. Goldfarb
CORC Technical Report TR-2002-03
Math. Oper. Res. 28(1), pp.1-37, 2003.
Growth optimal investment in horse race markets with costs
with T. Cover
IEEE Trans. Info. Theory, 46(7), pp. 2675-1683, 2000
Universal investment in markets with transaction costs
Math. Finance 15(2), pp. 359-371, 2005