Selected Publications

A data-driven approach to beating SAA out-of-sample (with Jun-ya Gotoh and Michael Kim), 2021.
https://arxiv.org/abs/2105.12342 or http://dx.doi.org/10.2139/ssrn.3853493
Worst-Case Sensitivity (with Jun-ya Gotoh and Michael Kim), 2020.
https://arxiv.org/abs/2010.10794 or https://ssrn.com/abstract=3716020
Calibration of Robust Empirical Optimization Models (with Jun-ya Gotoh and Michael Kim).
Accepted for publication in Operations Research.
See also: https://arxiv.org/abs/1711.06565v2 or https://ssrn.com/abstract=3602512, 2020.
A Generalized Black-Litterman Model (with Shea Chen). Operations Research, 68(2), pp 381--410, 2020.
Robust Empirical Optimization is Almost the Same as Mean-Variance Optimization (with Jun-ya Gotoh and Michael Kim). Operations Research Letters, 46(4), 448-452, 2018.
Machine Learning and Portfolio Optimization (with Gah-Yi Ban and Noureddine El Karoui).
Management Science, 64(3), pp 1136-1154, 2018.
Robust Multi-Armed Bandit Problems (with Michael Kim). Management Science, 62(1), pp 264-285, 2015.
Dynamic Portfolio Selection with Market Impact Costs (with Poomyos Wimonkittiwat).
Operations Research Letters, 45(2), pp 299-306, 2014.
Decentralized Control of a Stochastic Multi-Agent Queueing System (with Peng Li and George Shanthikumar). IEEE Transactions on Automatic Control, 57(11), pp 2762-2777, 2012.
Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case (with J. George Shanthikumar and Gah-Yi Vahn). Management Science, 58(9), pp 1747-1760, 2012.
Linear-Quadratic Control and Information Relaxations (with Martin Haugh). Operations Research Letters, 40(6), pp 521-528, 2012.
Optimal Investment and Consumption when Regime Transitions Cause Price Shocks (with Thaisiri Watewai). Insurance: Mathematics and Economics, 51(3), pp 551-566, 2012.
Robust Asset Allocation with Benchmarked Objectives (with Thaisiri Watewai and J. George Shanthikumar). Mathematical Finance, 21(4), pp 643-679, 2011.
Conditional Value-at-Risk in Portfolio Optimization: Coherent but Fragile (with J. George Shanthikumar
and Gah-Yi Vahn). Operations Research Letters, 39(3), pp 163-171, 2011.
Optimal Risk Transfer for Agents with GERMS (with Peng Li and J. George Shanthikumar).
Insurance: Mathematics and Economics, 47(1), pp 1-12, 2010.
On the optimality of Threshold Control in Queues with Model Uncertainty.
Queueing Systems: Theory and Applications, 65(2), pp 157-174, 2010.
A Benchmarking Approach to Optimal Asset Allocation for Insurers and Pension Funds (with Bernard Wong). Insurance: Mathematics and Economics, 46(2), pp 317-327, 2010.
Relative Entropy, Exponential Utility, and Robust Dynamic Pricing (with J. George Shanthikumar).
Operations Research, 55(2), pp 198-214, 2007.
Model Uncertainty, Robust Optimization and Learning (with Z.J. (Max) Shen and J. George Shanthikumar).
TutORials in Operations Research, 3, pp 66-94, 2006.
Pricing American-Style Derivatives with European Call Options (with Scott Laprise, Michael Fu, Steven Marcus, and Haiju Zhang). Management Science, 52(1), pp 95-110, 2006.
Mean-Variance Hedging When There are Jumps. SIAM Journal on Control and Optimization, 44(5), pp 1893-1922, 2005.
A New Risk-Sensitive Maximum Principle (with Xunyu Zhou). IEEE Transactions on Automatic Control, 50(7), pp 947-958, 2005.
Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market. Mathematics of Operations Research, 29(1), pp 132-161, 2004.
Multiple-Objective Risk-Sensitivie Control and its Small Noise Limit (with John Moore and Xunyu Zhou).
Automatica, 39(3), pp 533-541, 2003.
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (with Xunyu Zhou).
Mathematics of Operations Research, 27(1), pp 101-120, 2002.
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (with Xun Li and Xunyu Zhou).
SIAM Journal on Control and Optimization, 40(5), pp 1540-1555, 2002.
Sensor Scheduling in Continuous Time (with H.J.W. Lee and K.L. Teo).
Automatica, 37(12), pp 2017-2023, 2001.
Linear-Quadratic Control of Backward Stochastic Differential Equations (with Xunyu Zhou).
SIAM Journal on Control and Optimization, 40(2), 11 450-474, 2001.
Risk-Sensitive Control with HARA Utility (with Xunyu Zhou).
IEEE Transactions on Automatic Control, 46(4), pp 563-578, 2001.
Stochastic Optimal LQR Control with Integral Quadratic Constraints and Indefinite Control Weights
(with Xunyu Zhou). IEEE Transactions on Automatic Control, 44(7), pp 1359-1369, 1999.