### Selected Publications

##### A data-driven approach to beating SAA out-of-sample (with Jun-ya Gotoh and Michael Kim), 2021.

#####

##### Worst-Case Sensitivity (with Jun-ya Gotoh and Michael Kim), 2020.

#####

##### Calibration of Robust Empirical Optimization Models (with Jun-ya Gotoh and Michael Kim).

##### Accepted for publication in Operations Research.

#####

#####

##### 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).

#####

#####

#####

#####

##### 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.

#####

#####

#####

##### 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

#####

##### Optimal Risk Transfer for Agents with GERMS (with Peng Li and J. George Shanthikumar).

#####

##### On the optimality of Threshold Control in Queues with Model Uncertainty.

#####

#####

##### Relative Entropy, Exponential Utility, and Robust Dynamic Pricing (with J. George Shanthikumar).

#####

##### 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.

#####