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.