Martin Haugh’s Research
Imperial College Business School, Imperial College

Working Papers

1. Information Relaxations and Dynamic Zero-Sum Games (2014), with Chun Wang.

2. A Cournot-Stackelberg Model of Supply Contracts with Financial Hedging (2016), with Rene Caldentey.

Published Research Papers

3. Scenario Analysis for Derivatives Portfolios via Dynamic Factor Models (2019), with Octavio Ruiz Lacedelli.

Forthcoming in Quantitative Finance.

4. How to Play Fantasy Sports Strategically (and Win) (2018), with Raghav Singal.

Forthcoming in Management Science.

A shorter version of this paper was a finalist in the 2018 MIT Sloan Sports Analytics contest.

5. Information Relaxation Bounds for Partially Observed Markov Decision Processes (2017), with Octavio Ruiz Lacedelli.

Forthcoming in IEEE Transactions on Automatic Control.

6. The Advantage of Lefties in One-On-One Sports, with Francois Fagan and Hal Cooper.

Journal of Quantitative Analysis in Sports, Vol. 15, Issue 1, pp 1-25, 2018.

7. Information Relaxation Bounds for Infinite Horizon Markov Decision Processes, with David Brown.

Operations Research, Vol. 65, No. 5, pp 1355-1379, 2017. An additional appendix with some further examples is here.

8. Tax-Aware Dynamic Asset Allocation, with Garud Iyengar and Chun Wang.

Operations Research, Vol. 64, No. 4, pp 849-866, 2016.

9. A Generalized Risk Budgeting Approach to Portfolio Construction, with Garud Iyengar and Irene Song.

Journal of Computational Finance, Vol. 21, No. 2, pp 29-60, 2017.

10. Consistent Pricing of Options on Leveraged ETFs, with Andrew Ahn and Ashish Jain.

SIAM J. Financial Math, Vol. 6, pp 559-593, 2015.

11. Linear Programming and the Control of Diffusion Processes (2015), with Andrew Ahn.

INFORMS Journal on Computing, Vol. 27, No. 4, Fall pp 646-657, 2015.

12. Dynamic Portfolio Execution and Information Relaxations (2014), with Chun Wang.

SIAM J. Financial Math, Vol. 5, pp 316-359, 2014.

13. Linear-Quadratic Control and Information Relaxations, with Andrew Lim.

Operations Research Letters, Vol 40, Issue 6, pp 521-528, 2011.

14. A Unified Approach to Multiple Stopping and Duality, with Shyam Chandramouli.

Operations Research Letters, Vol 40, Issue 4, pp 258-264, 2012.

15. A Note on Constant Proportion Trading Strategies.

Operations Research Letters, Vol. 39, Issue 3, pp 172-179, 2011.

16. The Dual Approach to Portfolio Evaluation: A Comparison of the Static, Myopic and Generalized Buy-and-Hold Strategies, with Ashish Jain.

Quantitative Finance, Vol. 11, No. 1 pp 81-99, 2011.

17. Supply Contracts with Financial Hedging, with Rene Caldentey.

Operations Research, Vol. 57, No.1, January-February, pp 47-65, 2009.

18. Cross-Path Regressions and Pathwise Estimators: An Application to Evaluating Portfolio Strategies, with Ashish Jain.

Proceedings of the 2007 Winter Simulation Conference, 2007.

19. Portfolio Evaluation: A Duality Approach, with Leonid Kogan and Jiang Wang.

Operations Research. Vol. 54, No.3, May-June, pp 405-418, 2006.

20. Optimal Control and Hedging of Operations in the Presence of Financial Markets, with Rene Caldentey.

Mathematics of Operations Research. Vol. 31 Number 2, pp 285-304, 2006.

21. Pricing American Options: A Duality Approach, with Leonid Kogan.

Operations Research, Vol. 52, No.2, March-April, pp 258-270, 2004.

22. Asset Allocation and Derivatives, with Andrew W. Lo.

Quantitative Finance, Vol 1, No 1, Jan, pp 45-72, 2001.

23. The Subgroup Generated by the Squares, with P.D. MacHale.

Mathematical Proceedings of the Royal Irish Academy , Vol 97, December, No 2, pp 123-129, 1997.

Other Publications

24. Duality Theory and Simulation in Financial Engineering.

Proceedings of the 2003 Winter Simulation Conference, pp327-334, 2003.

25. Computational Challenges in Portfolio Management, with Andrew W. Lo.

Computing in Science and Engineering, May/June, Vol. 3, No. 3, pp 54-59, 2001.

Permanent Working Papers

26. Portfolio Optimization with Position Constraints: an Approximate Dynamic Programming Approach (2006), with Leonid Kogan and Zhen Wu.

Book Chapters

27. Duality and Approximate Dynamic Programming for Pricing American Options and Portfolio Optimization with Leonid Kogan.

In J.R. Birge and V. Linetsky (Eds.), Handbooks in OR and MS, Vol. 15, pp 925-948. Elsevier, 2008.

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