Publications

Books

  • Mathematical Programming and Finance, Editor, Special Issue of Mathematical Programming on Finance, December 2000 (with H. Konno and A. Ruszczynski).
  • World Wide Asset and Liability Modeling, Editor, Cambridge University Press, (with W. Ziemba), 1998.
  • Financial Engineering, Annals of Operations Research, Editor, (with H. Konno & D. Luenberger), 1994.
  • Evaluating Mathematical Programming Techniques, Springer-Verlag, Editor, 380 pages, 1982.
  • Network Models and Associated Applications, Mathematical Programming Study, 15, North Holland, Editor, 175 pages, 1981, (with D. Klingman).

Refereed Publications

  • “Large Language Models for Financial and Investment Management: Models, Opportunities and Challenges, “to appear December 2024, Journal of Portfolio Management. (with Y. Kong, Y. Nie, Z. Dong, H.V. Poor, and Q. Wen). 
  • Large Language Models for Financial and Investment Management: Models, Applications and Benchmarks, “to appear December 2024, Journal of Portfolio Management, (with Y. Kong, Y. Nie, Z. Dong, H.V. Poor, and Q. Wen).  
  • “Downside Risk Reduction using Regime-Switching Signals: A Statistical Jump Model Approach,” 2024, Journal of Asset Management, (with Y.Shu, and C. Yu). 
  • “Dynamic Asset Allocation with Asset-Specific Regime Forecasts,” 2024, Annals of Operations Research, (with Y. Shu, and C. Yu).
  • “Regime-Aware Factor Allocation with Optimal Feature Selection,” 2024, Journal of Financial Data Science, (with Y. Nie, and T. Bosancic).
  • “End-to-end Risk Budgeting Portfolio Optimization with Neural Networks”, 2023, Annals of Operations Research, (with S. Uysal, and X. Li).  
  • “Personnel Assignment for Large Banks and Related Service Organization.” Submitted to Production and Operations Management, 2023, (with M. Lin and B. Shetty).
  • “Optimal Portfolio Execution in a Regime-Switching Market with Nonlinear Impact Costs,” 2023, ArXiv:2306:08809 (with X. Li). 
  • “Continuous Statistical Jump Model for Identifying Financial Regimes,” Annals of Operations Research, 2023 (with O. Aydinhan, P. Kolm, and Y. Shu).
  • “A Cascaded Channel-Independent Spatio-Temporal Linear Framework for Traffic Forecasting,” AAAI-2023, (with V. Poor and Y. Nie).
  • "389 Long–Short Versus Long-Only Commodity Funds." In Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, 2023, 389-398.
  • "Multi-period Portfolio Optimization Using Model Predictive Control with Mean-variance and Risk Parity Frameworks," European Journal of Operational Research, 299, 3, 2022, 1158–1176 (with X. Li and S. Uysal).
  • PoBRL: Optimizing Multi-Document Summarization by Blending Reinforcement Learning Policies, 2021, arXiv: 2105.08244(with A. Su, D. Su, and H. V. Poor), IEEE Transactions on Artificial Intelligence, 2022. 
  • "Solving Multi-Period Financial Planning Models: Combining Monte Carlo Tree Search and Neural Networks", 2022, arXiv:2202.07734 (with O. Aydinhan and X. Li).
  • “Improving Portfolio Performance via Natural Language Processing Methods,” Journal of Financial Data Sciences, 4, 2, 2022, 37-49 (with D. Su and V. Poor). 
  • "Competitive Multi-Agent Reinforcement Learning with Self-Supervised Representation," IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2022, 4098–4102 (with D. Su, J. Lee and V. Poor)
  • “Applications of Machine Learning in Wealth Management,” Journal of Investment Consulting, 21, 1, 2022, 66-82 (with M. Holen, J. Gu, and Y. Nie).
  • "Optimizing Multi-Document Summarization by Blending Reinforcement Learning Policies," IEEE Transactions on Artificial Intelligence, 2022 (with D. Su, D. Su, and H. V. Poor).
  • "William T. Ziemba and a Brief Look at His Journal of Portfolio Management Legacy," Journal of Portfolio Management 49, 1, 2022, 7-9 (with J. Guerard).
  • “A Machine Learning Approach in Regime-Switching Risk Parity Portfolios,” Journal of Financial Data Science, 3, 2, 2021, 87-108 (with S. Uysal).
  • “MUSBO: Model-based Uncertainty Regularized and Sample Efficient Batch Optimization for Deployment Constrained Reinforcement Learning, 2021, arXiv: 2102.11448 (with D. Su and V. Poor).
  • “End-to-End Risk Budgeting Portfolio Optimization with Neural Networks, 2021, arXiv:2107.04636, SSRN 3883614 (with S. Uysal and X. Li). 
  • “Factor Momentum and Regime Switching Overlay Strategy,” Journal of Financial Data Science, 3, 4, 2021, 101-129 (with J. Gu).
  • “Portfolio Optimization under Regime Switching and Transaction Costs: Combining Neural Networks and Dynamic Programs,” INFORMS Journal on Optimization, 3, 4, 2021, 398-417 (with X. Li).
  • "Setting Realistic Goals for Personal Retirement Planning via Micro-Macro Analyses," Journal of Retirement, 8, 2, 2020, 23-38 (with H. Hao).
  • "Optimizing a Portfolio of Mean-Reverting Assets with Transaction. Costs via a Feed-forward Neural Network," Quantitative Finance, 2020, (with Y. Sun, M. Wang, and J. Ye).
  • "Flexicure Retirement Solutions: A Part of the Answer to the Pension Crisis?" Journal of Portfolio Management, (with L. Martellini, and V. Milhau), Spring 2019.
  • "Securing Replacement Income with Goal-Based Retirement Investing Strategies, Journal of Retirement, 7, 4, 8-26, 2020, (with L. Martellini and V. Milhau), also in Practical Ap-plications Section.
  • "Python Machine Learning for Investment Decisions: A Brief Guided Tour," EDHEC Risk Management, 2019.
  • "A Factor and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Bene-fits," Journal of Portfolio Management, 45, No 3., fall 2019 (with L. Martellini, H. Hao, and N. Li).
  • "Applying Goal-Based Investing Principles to the Retirement Problem," EDHEC Risk Management, Winter 2018, (with K. Giron, L. Martellini, V. Milhau, and A. Suri).
  • "Optimal Longevity Risk in the Retirement Stage of the Life Cycle," Journal of Retire-ment, 2018, (with K. Simsek, M.J. Kim, and W. C. Kim).
  • "Machine Learning, Economic Regimes and Portfolio Optimization," International Jour-nal of Financial Engineering and Risk Management, 2018, (with H. Hao and N. Li).
  • "Machine Learning and Financial Planning," IEEE Potentials, Special Issue on Computers and Money, 2017.
  • "The Evolution of Asset Categories: Lessons from University Endowments", Journal of Investment Consulting, Fall 2016 (with M. Holen).
  • "Identifying Economic Regimes: Reducing Downside Risks for University Endowments and Foundations," Journal of Portfolio Management, 2016 (with H. Liu).
  • "Dynamic Allocations for Currency Futures under Switching Regimes Signals," European Journal of Operational Research, 2016 (with L. Reus).
  • "Multistage Stochastic Optimization for Private Equity," Journal of Asset Management, 16, 5, 342-362. 2015 (with L. Reus).
  • "A Semiparametic Graphical Modelling Approach for Large-Scale Equity Selection," Quantitative Finance, 2015 (with H. Liu and T. Zhao).
  • "Focusing on the Worst Case for Robust Investing," International Review of Financial Analysis, 2015, (with J-H Kim, W. Kim and F. Fabozzi).
  • "Optimal Savings Management for Individuals with Defined Contribution Pension Plans," European Journal of Operational Research, 2014, (with Agnieszka Konicz).
  • "Dynamic Asset Allocation for Varied Financial Markets under Regime Switching Framework," European Journal of Operational Research, 232, 2, December 2014, (with G. Bae, and W. Kim).
  • "A Rule-Based Commodity Index," Journal of Investment Management, Summer, 2014.
  • "Toward a Fair(er) Valuation of Pension Liabilities," Supplement to Pensions and Investments, Fall 2013, 17-18, (with F. Fabozzi, and L. Martelllini).
  • "Applying a Stochastic Financial Planning System for an Individual: Immediate or Deferred Life Annuities?" Journal of Retirement, Fall 2013. (with Agnieszka Konicz).
  • "Advantages of Long-Short Commodity Funds for Long-Term Investors," Investments and Pensions Europe, Autumn 2013, 3-5.
  • "Werkzeuge fur Absolute-Return-Strategien," Organon, 2, December 2012, 1-23
  • "Long-Short versus Long-Only Commodity Funds," Quantitative Finance, December 2012, 1779-1785.
  • "Longevity Risk Management for Individual Investors," in Applications in Finance, Energy, Planning, and Logistics, (ed. W. Ziemba), 2012, (with W. Kim, K. Simsek, and M.J. Kim).
  • "The Role of Managed Futures and Commodity Funds: Protecting Wealth during Turbulent Periods," Journal of Indexes, Summer 2012.
  • "Linking Momentum Strategies with Single-Period Portfolio Models, in Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, Springer, 2011, 511-528, (with W. Kim and M. Bilgili).
  • "A Dynamic Portfolio of Investment Strategies: Applying Capital Growth with Drawdown Penalties," in The Kelly Capital Growth Criterion: Theory and Practice, (eds. L. MacLean, E. Thorp, and W. Ziemba), 2011, (with M. Bilgili and T. Vural).
  • "Multi-Stage Financial Planning: Integrating Stochastic Programs and Policy Simulators, in "Stochastic Programming: The State of the Art, (ed. G. Infanger), 2011, 257-276, (with W. Kim).
  • "Applying Stochastic Programming to the Defined Benefit Pension System," in Optimizing the Aging, Retirement and Pension Dilemma, (eds. M. Bertocchi, S. Schwartz, W. Ziemba), Wiley 2010 (with Z. Zhang).
  • "Evaluating Style Investment: Does a Fund Market Defined along Equity Styles add Value?" Feature article, Quantitative Finance, Fall 2009 (with W. Kim).
  • "An Enterprise Risk Management Model for Supply Chains", in Optimization and Logistics Challenges in the Enterprise, Springer, 2009 (with H. G. Erkan).
  • "Constantly Rebalanced Portfolio - Is Mean Reversion Necessary?" Encyclopedia of Quantitative Finance, John Wiley and Sons, U.K., 2009 (with W. Kim).
  • "Assisting Defined-Benefit Pension Plans," Operations Research, October 2008, 1066-1078, (with K. Simsek, Z. Zhang, F. Fabozzi, and W. Pauling), 56, 5.
  • "Active Equity Managers in the U.S.: Do the Best Follow Momentum Strategies?" Journal of Portfolio Management, Winter 2008 (with W. Kim).
  • "Dynamic Investment Strategies and Rebalancing Gains," The Euromoney Algorithmic Trading Handbook 2007/2008 (with M. Bilgili, W. Kim).
  • "Improving Performance for Long-Term Investors: Wide Diversification. Leverage, and Overlay Strategies," Quantitative Finance, April 2007. 7, 2, 1-13 (with C. Ural and Z. Zhang).
  • "The Role of Alternative Assets for Optimal Portfolio Construction," Encyclopedia of Risk Assessment, John Wiley and Sons, 2007 (with W. Kim).
  • "Dynamic Financial Analysis for Multinational Insurance Companies," 2007 in Handbook of Asset and Liability Management, Vol. 2, editors S.A. Zenios and W.T. Ziemba (with W. Pauling, S. Britt, F. Morin).
  • "Improving Investment Performance for Pension Plans", Journal of Asset Management, July 2006. 7, 93-108 (with K. Simsek, Z. Zhang).
  • "Applying CVaR for Decentralized Risk Management of Financial Companies," 2006, Journal of Banking and Finance. 30 (2), 627-644 (with Hafize Erkan).
  • "Decentralized Risk Management for Global Property and Casualty Insurance Companies," Applications of Stochastic Programming, Siam Publication, 2005, 503-529 (with Hafize Erkan).
  • "Modernizing the Defined Benefit Pension System," Journal of Portfolio Management, Winter 2004-2005. (with Frank Fabozzi, Bill Pauling, and Koray Simsek).
  • "Langfristige Portfoliostrategien im Seitzblauf: Ein Unverblick," Deutsche Pensions and Investmentnachrichten, Financial Times Business, November 2005, 60-62. (with Koray Simsek, Bill Pauling, and Hafize Erkan)
  • "Statistical Learning Theory in Equity Return Forecasting," INFORMS Computer Society, 2005 Meeting and Publication, Annapolis, Maryland. (with A.J. Thompson).
  • "The Role of Hedge Funds for Long-Term Investors," Journal of Financial Transformations, The CAPCO Institute, 2004.
  • "Applying Optimization Technology to Portfolio Management," Journal of Portfolio Management, Fall 2004, 162-168, 30th Anniversary Issue.
  • "Evaluating Trend-Following Commodity Index for Multi-Period Asset Allocation," Journal of Alternative Investments, Summer 2004 (with K. Simsek, S. Kaul).
  • "A Stochastic Network Approach for Integrating Pension and Corporate Financial Planning, Innovations in Financial and Economic Networks, (with K. Simsek and W. Pauling), 2003.
  • "Advantages of Multi-period Portfolio Models," Journal of Portfolio Management, Winter 2002. (with B. Pauling).
  • "Trend Following Hedge Funds and Multi-period Asset Allocation," Quantitative Finance, fall 2002 (with D. Darius, A. Ilhan, K. Simsek, and R. Sircar).
  • "Financial Planning via Multi-stage Optimization," Computers and Operations Research, 2003, (with B. Shetty).
  • "Rebalancing Strategies for Long-term Investors," in Kontoghiorghes, E.J., Rustem, B. and Siokos, S., ed., Computational Methods in Decision-Making, Economics and Finance: Optimization Models. Kluwer, 2002, 15-33, (with K.D. Simsek).
  • "Team Selection by Portfolio Optimization, Science and Golf IV, (ed. E. Thain), Routledge, London, 2002, 305-316. (with W. Green and C. Traub).
  • "Multi-Period Stochastic Optimization Models for Long-term Investors," Quantitative Analysis in Financial Markets (vol 3), (M. Avellaneda, ed.), 2001, World Scientific Publishing Co., Singapore, 66-85.
  • "Rebalancing Strategies for Multi-period Asset Allocation," Wealth Magazine, Fall, 2001. (with N. Lu and J. Sweemer).
  • "Financial Optimization," Encyclopedia of Optimization (C. Floudas and P. Pardalos, editors), Kluwer, 2001, vol 2, 130-138 (with B. Shetty).
  • "Capital Adequacy and Allocation using Dynamic Financial Analysis," Casualty Actuarial Society Forum, Summer 2000 (with D. Mango).
  • "Introduction to Financial Optimization," Mathematical Programming Special Issue on Finance, December 2000.
  • "An Asset and Liability Management System for Towers Perrin-Tillinghast, Interfaces, 30, 1, Jan-Feb 2000, 96-114, (with G. Gould and C. Morgan).
  • "Stratified Filtered Sampling in Stochastic Optimization", Journal of Applied Mathematics and Decision Sciences, 4, 1, June 2000, 17-38, (with R. Rush, J. Mitchell and T. Willemain).
  • "Integrated Financial Risk Management: Capital Allocation Issues," Casualty Actuarial Society Forum, Summer 1999, 1-14, (with C. Madsen and M. Belfatti).
  • "Parameter Estimation in Stochastic Scenario Generation Systems," European Journal of Operations Research," 118, 563-577, 1999, (with B. Shetty and D. Rosenbaum).
  • "A Tabu Search Procedure for Target-Matching in Financial Scenario Generation," Journal of Heuristics, 1999, (with A. Berger, J. Mitchell, and R. Rush).
  • "Asset and Liability Management Systems for Long-Term Investors," in World Wide Asset and Liability Modeling W. Ziemba and J. Mulvey (eds.), Cambridge University Press, 1998 (with W. Ziemba).
  • "Asset and Liability Management for Individual Investors," in World Wide Asset and Liability Modeling W. Ziemba and J. Mulvey (eds.), Cambridge University Press, 1998 (with A. Berger).
  • "The Towers Perrin Global Capital Market Scenario Generation System: CAP:Link" in World Wide Asset and Liability Modeling W. Ziemba and J. Mulvey (eds.), Cambridge University Press, 1998 (with A. Eric Thorlacius).
  • "A Portfolio Management System for Catastrophe Property Liabilities," Casualty Actuarial Society Forum, Summer 1998, 1-14, (with Adam Berger and Kevin Nish).
  • "Linking Strategic and Tactical Planning Systems for Dynamic Financial Analysis," Casualty Actuarial Society Forum, Summer 1998, 149-168. (with Chris Madsen and Francois Morin).
  • "Generating Scenarios for Global Financial Planning Systems, International Journal of Forecasting, June 1998. (with R. Rush and J. Sweeney).
  • "Strategic Financial Risk Management and Operations Research: A Review," European Journal of Operations Research, 1997, 1-16 (with B. Shetty and D. P. Rosenbaum).
  • "Making a Case for Robust Optimization Models, Management Science, 1997, 895-907 (with T. Carpenter and D. Bai).
  • "Solving Stochastic Control Problems in Finance via Global Optimization, Journal of Economics Dynamics and Control, 1997, 1405-1425 (with C. Maranas, I. Androulakis and C. Floudas).
  • "Asset and Liability Allocation in a Global Environment," Finance, North Holland Publishing Company, 1995, 435-463 (with W. Ziemba).
  • "It Always Pays to Look Ahead," Balance Sheet, 4, 4, Winter 1995/6.
  • "Accountability and Computer Decision Systems," Communications of the ACM, 38, 12, Dec 1995 (with D. Johnson).
  • "Stochastic Programming," in Mathematical Programming for Industrial Engineers, by M. Avriel and B. Golany (eds.), Marcel Dekker, Inc., New York, 1996, 543-574 (with John R. Birge).
  • "Generating Scenarios for the Towers Perrin Investment System," Interfaces, 1996, 1-21.
  • "Solving Robust Optimization Models in Finance," in Proceedings of the IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, 1996 1-13.
  • "Solving Dynamic Stochastic Control Problems in Finance Using Tabu Search with Variable Scaling," in Proceedings of the Meta-Heuristics International Conference MIC-95, Kluwer Academic Publishers, 1995, 429-448 (with F. Glover and K. Hoyland).
  • "A New Scenario Decomposition Method for Large-Scale Stochastic Optimization," Operations Research, 43, 3, 1995, 477-490 (with A. Ruszczynski).
  • "Robust Optimization of Large-Scale Systems," Operations Research, 43, 2, 1995, 264-281 (with R. Vanderbei and S. Zenios).
  • "Capturing the Correlations of Fixed-Income Instruments," Management Science, 40, 10, 1994, 1329-1342 (with Stavros A. Zenios).
  • "An Extension of the DQA algorithm to convex stochastic programs," SIAM J. On Optimization, 4, 4, 1994, 735-753 (with A. Berger and A. Ruszczynski).
  • "Restarting Strategies for the DQA Algorithm," in Large Scale Optimization: State of the Art, Kluwer Academic Publishers, 1994, 1-25 (with A. Berger and A. Ruszczynski).
  • Multi-Stage Financial Planning Systems, in Operations Research Models in Quantitative Finance, R. D'Ecclesia and S. Zenios (eds.), 1994.
  • "An Asset-Liability Investment System," Interfaces, 24, 3, 1994, 22-33.
  • "Dynamic Diversification of Fixed Income Portfolios," Financial Analysts Journal, January-February 1994, 30-38 (with S. Zenios).
  • "Integrating Assets and Liabilities for Large Financial Organizations," Chapter in New Directions in Computational Economics, W. W. Cooper and A. B. Whinston (eds.) 1994, 135-150, Kluwer Academic Publishers.
  • "Incorporating Transaction Costs in Models for Asset Allocation," Chapter in Financial Optimization, 243-259, Cambridge University Press, 1993.
  • "Higher Order Predictor-Corrector Interior Point Methods with Application to Quadratic Objectives," SIAM Journal on Optimization, 3, 4, 696-725, 1993, (with T. Carpenter, I. Lustig, and D. Shanno).
  • "Separable Quadratic Programming Via Primal-Dual Interior Point Method and Its Use in a Sequential Procedure," ORSA Journal of Computing, 5, 2 182-191, Spring 1993, (with T. Carpenter, I. Lustig and D. Shanno).
  • "Stochastic Network Programming for Financial Planning Problems," Management Science, 38, 11, 1992, 1642-1664, (with H. Vladimirou).
  • "A D.Q.A. Method for Multistage Stochastic Program Problems," IFIP Conference on System Modelling and Optimization, Zurich, Switzerland, Lecture Notes on Control and Optimization, 1992, (with A. Ruszczynski).
  • "A Diagonal Quadratic Approximation Method for Large Scale Linear Programs," OR Letters, 12, 205-215, 1992, (with A. Ruszczynski).
  • "Solving Multistage Stochastic Networks: An Application of Scenario Aggregation," Networks, 21, 619-643, 1991, (with H. Vladimirou).
  • "Formulating Two-Stage Stochastic Programs for Interior Point Methods," Operations Research, 39, 5, 757-770, 1991, (with I. J. Lustig and T. J. Carpenter).
  • "Applying the Progressive Hedging Algorithm to Stochastic Generalized Networks," Annals of Operations Research, 31, 399-424, 1991, (with H. Vladimirou).
  • "Simplicial Decomposition for Convex Generalized Networks," Journal of Information and Optimization Science, 11, 2, 1990, (with D. P. Ahlfeld and S. A. Zenios).
  • "Stochastic Network Optimization Models for Investment Planning," Annals of Operations Research, 20, 187-217, 1989, (with H. Vladimirou).
  • "Large-Scale Nonlinear Network Models and Their Application," Operations Research, 37, 3, 353-372, 1989, (with R. S. Dembo and S. A. Zenios).
  • "Evaluation of a Parallel Hedging Algorithm for Stochastic Network Programming," Impacts of Recent Computer Advances on Operations Research, (editors R. Sharda, B. L. Golden, E. Wasil, O. Balci and W. Stewart), 106-119, Elsevier, 1989, (with H. Vladimirou).
  • "Advances in Nonlinear Network Models and Algorithms," NATO ASI Series, F51, in Algorithms and Model Formulations in Mathematical Programming, (editor S. Wallace), 37, 3, 353-372, Springer, 1989.
  • "Integrating Expert Systems and Mathematical Programming: An Example in Infrastructure Management," Annals of Operations Research, 21, 275-300, 1989, (with H. H. Erickson and E. H. Vanmarcke).
  • "A Surplus Optimization Perspective," Investment Management Review, 3, 31-39, 1989.
  • "Balancing Large Social Accounting Matrices with Nonlinear Network Programming," Networks, 1989, (with A. Drud and S. A. Zenios).
  • "Managing Large Software Planning Systems During Rapid Technological Change," IEEE, Engineering Management, 35, 1988, (with S. A. Zenios).
  • "A Distributed Algorithm for Convex Network Optimization Problems," Parallel Computing, 6, 1988, (with S. A. Zenios).
  • "Vectorization and Multitasking of Nonlinear Network Programming Algorithms," Mathematical Programming, Series B, 1988, (with S. A. Zenios).
  • "A Stochastic Planning System for Siting and Closing Public Service Facilities," Environment and Planning A, 20, 83-98, 1988, (with S. R. Gregg and J. Wolpert).
  • "Nonlinear Programming on Generalized Networks," ACM Transactions on Mathematical Software, December 1987, (with D. P. Ahlfeld, R. Dembo and S. A. Zenios).
  • "Nonlinear Network Models in Finance," Advances in Mathematical Programming and Financial Planning, 1, 253-271, Jai Press, Greenwich, CT, 1987.
  • "Modeling and Policy Design," Public Productivity Review, 42, Summer 1987, (with S. Blount-White).
  • "Real-Time Operational Planning for the U.S. Air Traffic System," Applied Numerical Mathematics: Special Issue on Applications of Optimization, 3, 2, 427-441, 1987, (with S. A. Zenios).
  • "Selecting Optimal Specimens of Stock Populations," Control and Cybernetics, 15, 2, 219-232, 1987, (with T. Nadbielny).
  • "Nonlinear Network Programming on Vector Supercomputers: A Study on the CRAY X-MP," Operations Research, 34, 5, 667-682, 1986, (with S. A. Zenios).
  • "Estimating Joint Strata Weights for Poststratification," European Journal of Operational Research, 27, 2, 1986.
  • "Designing Optimal Strategies for Contaminated Groundwater Remediation," Adv. Water Resources, 9 (June) 77-84, 1986.
  • "Relaxation Techniques for Strictly Convex Network Problems," Annals of Operations Research, 517-538, 1985/86, (with S. A. Zenios).
  • "Anticipatory Personnel Management: An Application of Multi-Criterion Networks," Management of R&D and Engineering, 1985.
  • "Solving Large-Scale Generalized Networks," Journal of Information and Optimization Sciences, 1984, (with S. A. Zenios).
  • "Large-Scale Optimization Modeling at the U.S. Treasury Department: An Update," Interfaces, 1984.
  • "Using Large-Scale Mathematical Programming to Construct the U.S. Statistics of Income File," Applications of Management Sciences, 1984, (with S. Blount-White).
  • "A Network Portfolio Approach for Cashflow Management," Journal of Cash Management, January/February 1984.
  • "Solving Capacitated Clustering Problems," European Journal of Operational Research, 1984, 18, 339-348, (with M. P. Beck).
  • "Multivariate Stratified Sampling by Optimization," Management Science, 29, 6, 715-724, June 1983.
  • "Computer Modeling for State Use: Implications for Professional Responsibility," IEEE Technology and Society Magazine, Institute of Electrical and Electronics Engineering, June 1983.
  • "Network Relaxations and Lower Bounds for Multiple Choice Problems," International Federation of Operations Research Societies, 20, 4, November 1982, also in Some Recent Advances in the Theory, Computation and Application of Network Flow Models, (eds. Frieda Granot and Darwin Klingman), 1983, (with F. Glover).
  • "Constructing and Aggregating Databases," 1982 Conference on Information Sciences and Systems, Princeton University, 1982, (with M. P. Beck).
  • "A Classroom/Time Assignment Model," European Journal of Operational Research, 9, 64-70, 1982.
  • "Integrating Optimization Models with Information Systems for Decision Support," Building Decision Support Systems, Chapter 5, Addison-Wesley Publishing, Reading, MA, 1982, (with J. S. Dyer).
  • "How Should We Compare Forecasting Models When They Differ," Energy Policy Modeling: United States and Canadian Experiences, Volume II, 238-247, (eds. W. T. Ziemba and S. L. Schwartz), 1980.
  • "Reducing the U.S. Taxpayer Database by Optimization," Interfaces, 10, 5, October 1980.
  • "Equivalence of the 0-1 Integer Programming Problem to Discrete Generalized and Pure Networks," Operations Research, 28, 3, Part II, 829-836, May-June 1980, (with F. Glover).
  • "Testing of a Network Relaxation Method for 0-1 Set Partitioning and Set Covering," Survey of Mathematical Programming, 2, 1980.
  • "Maximizing Homogeneity for Multivariate Stratified Sampling," Proceedings of Second International Conference on Mathematical Modeling, 541-551, (ed. X. J. R. Avula), University of Missouri-Rolla, 1980.
  • "Applicability of Shortest-Path and Minimum-Cost Flow Network Algorithms for Mini-Computers and Micro-Processors," Survey of Mathematical Programming, 27-36, 1980, (with D. Klingman).
  • "An Evaluation of Mathematical Programming and Minicomputers," European Journal of Operational Research, 3, 30-39, 1979, (with J. Elam and D. Klingman).
  • "On Reporting Computational Experiments with Mathematical Software," ACM Transactions on Mathematical Software, 5, 2, 193-203, June 1979, (with H. P. Crowder and R. Dembo).
  • "Strategies in Modeling: A Personnel Scheduling Example," Interfaces, 9, 3, 66-77, May 1979, also in Utility and Use of Large-Scale Mathematical Models, National Bureau of Standards Special Publication 543, 177-194, (ed. Saul I. Gass), May 1979.
  • "Cluster Analysis: An Application of Lagrangian Relaxation," Management Science, 25, 4, 329-340, April 1979, (with H. P. Crowder).
  • "Reporting Computational Experience in Operations Research," Operations Research, January 1979, (with H. Crowder, R. Dembo, M. Florian and B. Fox).
  • "On the Analysis and Comparison of Mathematical Programming Algorithms and Software," Computers and Mathematical Programming, Proceedings of the Bicentennial Conference on Mathematical Programming, (ed. W. W. White), National Bureau of Standards Special Publication 502, 106-116, 1978, (with R. Dembo).
  • "On Teaching Linear Programming Fundamentals," Computers and Mathematical Programming, Proceedings of the Bicentennial Conference on Mathematical Programming, (ed. W. W. White), National Bureau of Standards Special Publication 502, 279-285, (with R. D. Shapiro).
  • "Testing of a Large-Scale Network Optimization Program," Mathematical Programming, 15, 291-314, 1978.
  • "Reporting Computational Experiments in Mathematical Programming," Mathematical Programming, 15, 316-329, 1978, and in Design and Implementation of Optimization Software, (ed. Harvey Greenberg), Sigthoff & Noordhoff International Publishers, The Netherlands, 1978, (with H. P. Crowder and R. Dembo).
  • "Planning in the Face of Conflicting Objectives," Proceedings of the 26th Annual Joint Engineering Management Conference, October 1978, Engineering Management in the Computer Age, CH1359-9-79/0000-0034, 34-37, 1978.
  • "A Critical Review of Methods of Comparing Mathematical Programming Algorithms and Software: 1953-1977," Journal of Research of the National Bureau of Standards, 83, 6, 563-584, November-December 1978, (with R. Dembo).
  • "Pivot Strategies for Primal-Simplex Network Codes," Journal of the Association for Computing Machinery, 25, 2, 266-270, April 1978.
  • "Computerized Scheduling and Planning," New Directions for Institutional Research, special issue on Applying Analytic Methods to Planning and Management, IV, 1, 67-86, Spring 1977.
  • "An Integrated Optimization/Information System for Academic Departmental Planning," Management Science, 22, 12, 1332-1341, August 1976, (with J. Dyer).

Reports and Chapters of Books

  • "Dynamic Investment Strategy and Rebalancing Gains", 2007, to appear in the Euromoney Algorithmic Trading Handbook 2007/08, Euromoney Institutional Investor PLC (With W.C.Kim and M.Bilgili)
  • "Linking Strategic and Tactical Planning Systems for Dynamic Financial Analysis," Princeton University Report SOR-98-1, 1998 (with C. Madsen and F. Morin).
  • "A Tabu Search Procedure for Target-Matching in Financial Scenario Generation," Princeton University Report SOR-97-16, 1997 (with A. Berger, J. Mitchell and R. Rush).
  • "Total Integrated Risk Management: Insurance Elements", Princeton University Report, SOR-97-2, (with S. Correnti and J. Lummis).
  • "Integrative Population Analysis for Better Solutions and 'What-If' Analysis in Industrial Engineering Applications," Princeton University Report SOR-96-9, 1996 (with F. Glover and D. Bai).
  • "Improved Approaches to Optimization via Integrative Population Analysis," Princeton University Report SOR-95-25, 1995 (with F. Glover and D. Bai).
  • "Total Integrative Risk Management," Risk Magazine, 28-30, June 1995 (with J. Armstrong, and E. Rothberg).
  • "Patenting Mathematical Programs and Associated Software Inventions," Princeton University Report SOR 95-02, (with D. Johnson), 1995.
  • "Solving Global Optimization Problems in Long-Term Financial Planning," Princeton University Report SOR 95-01, (with A. Berger and F. Glover), 1995.
  • "Stochastic Programming Models for Network Survivability," Princeton University Report SOR-94-14, 1994 (with D. Bai and T. Carpenter).
  • "Financial Planning via Multi-Stage Stochastic Programs," in Proceedings of the 15th International Symposium on Mathematical Programming, University of Michigan, 1994.
  • "Models in the Public Sector: Success, Failure and Ethical Behavior," in Ethics in Modeling, Pergamon Press, 1994, 58-74.
  • "Errors in Asset Management," Princeton University Report SOR-94-08, 1994 (with A. Berger).
  • "Solving Stochastic Control Problems in Finance via Global Optimization," Princeton University Report SOR-94-01, 1994 (with C. Maranas, I. Androulakis, C. Floudas, and A. Berger).
  • Special Issue of Interfaces on Computational Finance (Editor), 1994.
  • "Robust Optimization on PC Supercomputer," SIAM Newsletter, November 1993.
  • "Ethical Issues Surrounding Large-Scale Computer Decision Procedures," Princeton University, Report SOR-93-1, 1993. (with D. Johnson) submitted to Operations Research.
  • "A Parallel Interior-Point Algorithm for Large-Scale Stochastic Optimization," Princeton University, Report SOR-91-19, 1991.
  • "Robust Optimization of Large Scale Systems: An Emerging New Technology," Princeton University, Report SOR-91-15, 1991.
  • "Integrative Asset-Liability Investing," Princeton University, Report SOR-91-3, 1991.
  • "A Diagonal Quadratic Approximation Method for Large Scale Linear Programs," Princeton University, Report SOR-90-8, 1990, (with A. Ruszczynski).
  • "Parallel and Distributed Algorithms for Stochastic Network Programs," Princeton University, Report SOR-90-11, 1990, (with H. Vladimirou).
  • "Generating Scenarios for Stochastic Programs Using Optimal Cluster Analysis," Princeton University, Report SOR-90-10, 1990, (with A. Joshi).
  • "The Emergence of Computerized Decision Procedures," Princeton University, Report SOR-89-20, Government Executive, 1990.
  • "Documentation for Multistage Stochastic Generalized Network Optimization Codes," Prince-ton University, SOR-89-15, 1989, (with H. Vladimirou).
  • "Stochastic Network Programming for Financial Planning Problems," Princeton University, Report SOR-89-7, 1989, (with H. Vladimirou).
  • "Advances in Nonlinear Network Models and Algorithms," Algorithms and Model Formulations in Mathematical Programming, NATO ASI Series, Computers and Systems Source, 51, 45-72, 1988.
  • "GENOS 1.0 User's Guide: A Generalized Network Optimization System," Technical Report 87-12-03, Decision Sciences Department, University of Pennsylvania, 1987, (with S. A. Zenios).
  • "A Stochastic Planning System for Siting and Closing Public Service Facilities," 1986, (with S. R. Gregg and J. Wolpert).
  • "A New Algorithm for Optimal Groundwater Clean-Up Using Analytical Derivatives," 1986, (with D. Ahlfeld).
  • "Integrated Risk/Cost Planning Models for the U.S. Traffic System," 1985, (with S. A. Zenios).
  • "Managing Software Projects in a Rapidly Changing Hardware Environment," 1985, (with S. A. Zenios).
  • "Matching Medical Students to Residencies: Success or Failure?", 1985.
  • "Linking Forecasting and Optimization Planning Models: Applications of Large-Scale Stochastic Networks," 1985.
  • "Personnel Models with Multiple Objectives," Princeton University, Report EES-84-3, 1984.
  • "A Network Optimization Model for the U.S. Air Traffic System," Princeton University, Report EES-83-8, 1983.
  • "Selecting Optimal Specimens of Stock Populations," Princeton University, Report EES-83-3, 1983.
  • "Modeling and Policy Design," Princeton University, Report EES-82-15, 1982.
  • "Optimal Sales force Allocation and Territory Design," Princeton University, Report EES-82-6, 1982.
  • "Constructing and Aggregating Databases for Micro-Economic Studies," Princeton University, Report EES-82-4, 1982.
  • "Constructing Optimal Index Funds," Princeton University, Report EES-82-1, 1982.
  • "Solving Multi-Objective Problems via Structured and Interactive Dialogue," Princeton University, Report EES-81-8, 1981.
  • "Aggregating Variables Via Optimal Cluster Analysis," Princeton University, Report EES-81-2, 1981, (with M. Beck).
  • "An Incentive-Based Resource Recovery System: Reducing Improper Disposal of Hazardous Wastes," Princeton University, Report EES-81-1, 1981.
  • "A Pre-Tax and Post-Tax Analysis of Silver Spreads: Profit and Risks," Office of Tax Analysis Working Paper, OTA Papers, 1980.
  • "An Analysis of Butterfly Spreads: Overview and Summary," Princeton University, Report EES-80-13, 1980.
  • "Aggregation of Variables by Cluster Analysis," Princeton University, Report EES-80-11, 1980.
  • "Interactive Solution Strategies for Discrete Scheduling with Application to the Class-room/Time Assignment Problem," Princeton University, Report EES-80-9, 1980.
  • "Reducing the Size of Databases," Princeton University, Report EES-80-8, 1980.
  • "Design of a Sample Data Base Using an Optimization Model," Princeton University, Report EES-80-5, 1980.
  • "A Critical Evaluation of New Jersey's Motor Vehicle Odometer Reporting System," Princeton University, Report EES-79-16, 1979.
  • "Network Relaxations and Block Adjacency Structures," Harvard Business School Report, HBS 76-3, Harvard University, 1976, (with F. Glover).
  • "A Network Relaxation Approach for the Set Partitioning and Set Covering Models," Harvard Business School, HBS 75-37, 1975.
  • "Preliminary Application of Resource Allocation for the Educational Sector," Operations Research Study Center, Discussion Paper #21, Graduate School of Management, UCLA, March 1972.
  • "A Nonlinear Programming Algorithm for an Array Computer," Department of Computer Science, Document #357, and M.S. Thesis, University of Illinois, Urbana, August 1969.

…and over 20 technical reports (average length: 200 pages) delivered to government defense department contractors while on staff at TRW Systems Group (1969-1975).