Optimal trade execution with learning (with Galvin Ng), 2025.

Dynamic portfolio choice with predictability and parameter uncertainty (with Thaisiri Watewai), 2025. [SSRN]

Partial Backorder Inventory System: Asymptotic Optimality and Demand Learning (with Zhaoxuan Wei and Hanqin Zhang), 2024. [SSRN, arXiv]

Worst-Case Sensitivity (with Jun-ya Gotoh and Michael Kim), 2020. [SSRN, arXiv]

Dynamic Black-Litterman (with Anas Abdelhakmi), 2025. Forthcoming, Operations Research. [SSRN, arXiv]

A data-driven approach to beating SAA out-of-sample (with Jun-ya Gotoh and Michael Kim). Operations Research, 83(2), pp. 829--841, 2025. [Journal, SSRN, arXiv]

Calibration of Robust Empirical Optimization Models (with Jun-ya Gotoh and Michael Kim). Operations Research, 69(5), pp 1630--1650, 2021. [Journal, SSRN, arXiv]

A Generalized Black-Litterman Model (with Shea Chen). Operations Research, 68(2), pp 381--410, 2020. [Journal]

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. [Journal]

Machine Learning and Portfolio Optimization (with Gah-Yi Ban and Noureddine El Karoui). Management Science, 64(3), pp 1136-1154, 2018. [Journal]

Robust Multi-Armed Bandit Problems (with Michael Kim). Management Science, 62(1), pp 264-285, 2015. [Journal]

Dynamic Portfolio Selection with Market Impact Costs (with Poomyos Wimonkittiwat). Operations Research Letters, 45(2), pp 299-306, 2014. [Journal]

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. [Journal]

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. [Journal]

Linear-Quadratic Control and Information Relaxations (with Martin Haugh). Operations Research Letters, 40(6), pp 521-528, 2012. [Journal]

Optimal Investment and Consumption when Regime Transitions Cause Price Shocks (with Thaisiri Watewai). Insurance: Mathematics and Economics, 51(3), pp 551-566, 2012. [Journal]

Robust Asset Allocation with Benchmarked Objectives (with Thaisiri Watewai and J. George Shanthikumar). Mathematical Finance, 21(4), pp 643-679, 2011. [Journal]

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. [Journal]

Optimal Risk Transfer for Agents with GERMS (with Peng Li and J. George Shanthikumar). Insurance: Mathematics and Economics, 47(1), pp 1-12, 2010. [Journal]

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.