A Portfolio Perspective on the Multitude of Firm Characteristics,with A. Martin-Utrera, F.J. Nogales, and R. Uppal, LBS working paper (2017). Best Paper Award at the XXIV Finance Forum, accepted for 2017 EFA Annual Meeting and 2018 AFA Annual Meeting. (Manuscript.pdf).
Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization, with A.V. Olivares-Nadal, Forthcoming in Operations Research. (Manuscript.pdf).
Multiperiod Portfolio Optimization with Multiple Risky Assets and General Transaction Costs, with X. Mei and F.J. Nogales, Journal of Banking and Finance, 69, 108--120 (2016). (Manuscript.pdf).
Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs, with A. Martin-Utrera and F.J. Nogales, Journal of Financial and Quantitative Analysis, 50(6), 1443--1471 (2015). (Manuscript.pdf).
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance, with F.J. Nogales and R. Uppal, The Review of Financial Studies, 27(4), 1031--1073 (2014). (Manuscript.pdf), (ElectronicCompanion.pdf).
Improving Portfolio Selection Using Option-Implied Volatility and Skewness, with Y. Plyakha, R. Uppal, and G. Vilkov, Journal of Financial and Quantitative Analysis, 48(6), 1813--1845 (2013). (Manuscript.pdf).
Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection, with A. Martin-Utrera and F.J. Nogales, Journal of Banking and Finance, 37(8), 3018--3034 (2013). (Manuscript.pdf).
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms, with L. Garlappi, F.J. Nogales, and R. Uppal, Management Science, 55(5), 798—812 (2009). (Manuscript.pdf), (ElectronicCompanion.pdf).
Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?,
Garlappi and R. Uppal. The Review
of Financial Studies 22(5),
"Appendix to 1/N: Implementation Details and Robustness
Portfolio Investment with the Exact Tax Basis via Nonlinear Programming, with R. Uppal, Management Science, 51(2), 277—290 (2005). (Manuscript.pdf).
Wholesale Price Contracts for Reliable Supply, with W. Hwang and N. Bakshi. Forthcoming in Production and Operations Management. (Manuscript.pdf).
Methods for a Class of Partially Separable Nonlinear Programs,
of Operations Research,
33(1), 119—139 (2008). (Manuscript.pdf).
Stochastic Programming Can Do for Network Revenue Management,
N. Mishra. LBS working
A Local Convergence Analysis of Bilevel Decomposition Algorithms, with W. Murray, Optimization and Engineering, 7, 99—133 (2006). (Manuscript.pdf).
Relaxation Scheme for Mathematical Programs
with Equilibrium Constraints,
with M.P. Friedlander, F.J. Nogales,
Scholtes, SIAM Journal on
With Correlated Demand Forecasting,
with K. Fridgeirsdottir, C. Stefanescu, and S. Zenios. 2004
the American Statistical Association ,
Business and Economics
Section, Alexandria, VA: American Statistical Association. (Manuscript.pdf)
Algorithms for Nonconvex Optimization
Problems with Global Variables.
Ph.D. thesis, Stanford University,
A Class of Quadratic Programming Test Problems with Global Variables, with W. Murray. Technical Report SOL 01-2, Dept. of MS&E, Stanford University, (2001). (Manuscript.pdf)
Generating Optimization Problems with Global Variables, with W. Murray. Technical Report SOL 01-3, Dept. of MS&E, Stanford University, (2001). (Manuscript.pdf)
An Analysis of Collaborative Optimization Methods, with W. Murray. Eight AIAA/USAF/NASA/ISSMO Symposium on Multidisciplinary Analysis and Optimization, (2000). (Manuscript.pdf)
Obituary to Angel Victor de Miguel Rodriguez, (2008). (Obit.pdf)