Publications

You can find my articles on my Google Scholar profile but they are also listed below with links to the PDFs in some cases.

Working Papers

• A Counterfactual Analysis of the Dishonest Casino (2024), with Raghav Singal.
• Bounding Counterfactuals in Hidden Markov Models and Beyond (2023), with Raghav Singal.
  This is an extended version of the ICML 2023 paper Counterfactual Analysis in Dynamic Latent-State Models listed below.
• Production Postponement with Borrowing and Hedging in a Competitive Supply Chain (2021), with Rene Caldentey.

Published Papers

• An Empirical Bayes Approach for Estimating Skill Models for Professional Darts Players (2023), with Chun Wang.
  Forthcoming in the Journal of Quantitative Analysis in Sports.
• Multi-Market Cournot Equilibria with Heterogeneous Resource-Constrained Firms (2024), with Rene Caldentey.
  Operations Research, Vol. 72, No. 3 (May-June), pp 940-956.
• Counterfactual Analysis in Dynamic Latent-State Models (2023), with Raghav Singal.
  Proceedings of the 40th International Conference on Machine Learning (ICML 2023).
• Wasserstein Logistic Regression with Mixed Features (2022), with Aras Selvi, Reza Belbasi and Wolfram Wiesemann.
  In Advances in Neural Information Processing Systems 35 (NeurIPS 2022).
• Play Like the Pros? Solving the Game of Darts as a Dynamic Zero-Sum Game (2022), with Chun Wang.
  INFORMS Journal on Computing, Vol. 34, Issue 5, pp 2540-2551.
  Python code and data for this paper is available here.
• Scenario Analysis for Derivatives Portfolios via Dynamic Factor Models, (2020) with Octavio Ruiz Lacedelli.
  Quantitative Finance, Vol. 20, No. 4, pp 547-571.
• How to Play Fantasy Sports Strategically (and Win) (2021), with Raghav Singal.
  Management Science, Vol. 67, No. 1, pp 72-92.
  A shorter version of this paper was a finalist in the 2018 MIT Sloan Sports Analytics contest.
• Information Relaxation Bounds for Partially Observed Markov Decision Processes (2020), with Octavio Ruiz Lacedelli.
  IEEE Transactions on Automatic Control, Vol. 65, No. 8, August, pp 3256-3271.
  An additional appendix with an application to mammography screening is here.
• 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.
• 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.
• Tax-Aware Dynamic Asset Allocation, with Garud Iyengar and Chun Wang.
  Operations Research, Vol. 64, No. 4, pp 849-866, 2016.
• 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.
• Consistent Pricing of Options on Leveraged ETFs, with Andrew Ahn and Ashish Jain.
  SIAM J. Financial Math, Vol. 6, pp 559-593, 2015.
• Linear Programming and the Control of Diffusion Processes, with Andrew Ahn.
  INFORMS Journal on Computing, Vol. 27, No. 4, Fall pp 646-657, 2015.
• Dynamic Portfolio Execution and Information Relaxations, with Chun Wang.
  SIAM J. Financial Math, Vol. 5, pp 316-359, 2014.
• Linear-Quadratic Control and Information Relaxations, with Andrew Lim.
  Operations Research Letters, Vol 40, Issue 6, pp 521-528, 2011.
• A Unified Approach to Multiple Stopping and Duality, with Shyam Chandramouli.
  Operations Research Letters, Vol 40, Issue 4, pp 258-264, 2012.
• A Note on Constant Proportion Trading Strategies.
  Operations Research Letters, Vol. 39, Issue 3, pp 172-179, 2011.
• 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.
• Supply Contracts with Financial Hedging, with Rene Caldentey.
  Operations Research, Vol. 57, No.1, January-February, pp 47-65, 2009.
• Cross-Path Regressions and Pathwise Estimators: An Application to Evaluating Portfolio Strategies, with Ashish Jain.
  Proceedings of the 2007 Winter Simulation Conference, 2007.
• Portfolio Evaluation: A Duality Approach, with Leonid Kogan and Jiang Wang.
  Operations Research, Vol. 54, No.3, May-June, pp 405-418, 2006.
• 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.
• Pricing American Options: A Duality Approach, with Leonid Kogan.
  Operations Research, Vol. 52, No.2, March-April, pp 258-270, 2004.
• Asset Allocation and Derivatives, with Andrew W. Lo.
  Quantitative Finance, Vol 1, No 1, Jan, pp 45-72, 2001.
• 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

• Duality Theory and Simulation in Financial Engineering.
  Proceedings of the 2003 Winter Simulation Conference, pp327-334, 2003.
• 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

• Portfolio Optimization with Position Constraints: an Approximate Dynamic Programming Approach (2006), with Leonid Kogan and Zhen Wu.
• Information Relaxations and Dynamic Zero-Sum Games (2014), with Chun Wang.

Book Chapters

• 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.