Robust portfolio selection problems
with D. Goldfarb
CORC Technical Report TR-2002-03
Math. Oper. Res. 28(1), pp.1-37, 2003.
Robust portfolio management
with D. Goldfarb and E. Erdogan
CORC Technical Report TR-2004-11
Computational Finance, 11(4), pp. 71-98, 2007
Robust quadratically constrained programs
CORC Technical Report TR-2002-04
Math. Programming, Ser. B, 97(3), pp.495-515, 2003
Robust dynamic programming
CORC Technical Report TR-2002-07
Math. Oper. Res. 30(2), pp.1-21, 2005.
Inverse conic optimization
with Wanmo Kang
CORC Technical Report TR-2003-02
Oper. Res. Letters, 33(3), pp.319-330, 2005.
An active set method for single-cone second-order cone programs
with Emre Erdogan
CORC Technical Report TR-2004-07
SIOPT 17(2), pp. 459-484, 2006.
Ambiguous chance constrained problems and robust optimization
CORC Technical Report TR-2004-10
Math. Prog., Ser. B 107(1-2), pp. 37-61, 2006.
On two-stage convex chance constrained problems
CORC Technical Report TR-2005-02
Math. Methods of Oper. Res. 65, pp. 115-140, 2007.
Robust pension fund management
with Alfred Ma
CORC Technical Report TR-2006-05
Under review in Operations Research