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1

60 Years of portfolio optimization: Practical challenges and current trends

Kolm, Petter N., Tütüncü, Reha, Fabozzi, Frank J.

Journal:

European Journal of Operational Research

Year:

2014

Language:

english

File:

PDF, 1.80 MB

english, 2014

2

Least-squares approach to risk parity in portfolio selection

Bai, Xi, Scheinberg, Katya, Tutuncu, Reha

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 1.76 MB

english, 2015

3

Least-Squares Approach to Risk Parity in Portfolio Selection

Bai, Xi, Scheinberg, Katya, Tutuncu, Reha

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 1.45 MB

english, 2013

4

Optimization Methods in Finance || LP models: asset/liability cash-flow matching

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 167 KB

english, 2006

5

Optimization Methods in Finance () || Linear Programming Models: Asset–Liability Management

Cornuéjols, Gérard, Peña, Javier, Tütüncü, Reha

Year:

2018

Language:

english

File:

PDF, 891 KB

english, 2018

6

Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity

Ana Margarida Monteiro, Reha H. Tütüncü, Luís N. Vicente

Journal:

European Journal of Operational Research

Year:

2008

Language:

english

File:

PDF, 606 KB

english, 2008

7

A note on calculating the optimal risky portfolio

Reha H. Tütüncü

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 42 KB

english, 2001

8

Rendezvous Search on the Labeled Line

Elizabeth J. Chester and Reha H. Tütüncü

Journal:

Operations Research

Year:

2004

Language:

english

File:

PDF, 1.09 MB

english, 2004

9

Optimization Methods in Finance || Nonlinear programming: theory and algorithms

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 266 KB

english, 2006

10

Optimization Methods in Finance || Stochastic programming models: Value-at-Risk and Conditional Value-at-Risk

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 101 KB

english, 2006

11

Optimization Methods in Finance || Quadratic programming: theory and algorithms

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 199 KB

english, 2006

12

Optimization Methods in Finance () || Mixed Integer Programming Models: Portfolios with Combinatorial Constraints

Cornuéjols, Gérard, Peña, Javier, Tütüncü, Reha

Year:

2018

Language:

english

File:

PDF, 187 KB

english, 2018

13

Optimization Methods in Finance () || Basic Mathematical Facts

Cornuéjols, Gérard, Peña, Javier, Tütüncü, Reha

Year:

2018

Language:

english

File:

PDF, 128 KB

english, 2018

14

Optimization Methods in Finance () || Quadratic Programming Models: Mean–Variance Optimization

Cornuéjols, Gérard, Peña, Javier, Tütüncü, Reha

Year:

2018

Language:

english

File:

PDF, 369 KB

english, 2018

15

Optimization Methods in Finance () || Nonlinear Programming: Theory and Algorithms

Cornuéjols, Gérard, Peña, Javier, Tütüncü, Reha

Year:

2018

Language:

english

File:

PDF, 231 KB

english, 2018

16

Optimization Methods in Finance () || Linear Programming Models: Arbitrage and Asset Pricing

Cornuéjols, Gérard, Peña, Javier, Tütüncü, Reha

Year:

2018

Language:

english

File:

PDF, 219 KB

english, 2018

17

Optimization Methods in Finance () || Quadratic Programming: Theory and Algorithms

Cornuéjols, Gérard, Peña, Javier, Tütüncü, Reha

Year:

2018

Language:

english

File:

PDF, 1.17 MB

english, 2018

18

Optimization Methods in Finance () || Stochastic Programming Models: Asset–Liability Management

Cornuéjols, Gérard, Peña, Javier, Tütüncü, Reha

Year:

2018

Language:

english

File:

PDF, 219 KB

english, 2018

19

Optimization Methods in Finance () || Multi-Period Models: Simple Examples

Cornuéjols, Gérard, Peña, Javier, Tütüncü, Reha

Year:

2018

Language:

english

File:

PDF, 196 KB

english, 2018

20

Reducing horizontal linear complementarity problems

Reha H. Tütüncü, Michael J. Todd

Journal:

Linear Algebra and its Applications

Year:

1995

Language:

english

File:

PDF, 609 KB

english, 1995

21

Robust profit opportunities in risky financial portfolios

Mustafa Ç. Pınar, Reha H. Tütüncü

Journal:

Operations Research Letters

Year:

2005

Language:

english

File:

PDF, 215 KB

english, 2005

22

A reduced space interior point strategy for optimization of differential algebraic systems

Arturo M. Cervantes, Andreas Wächter, Reha H. Tütüncü, Lorenz T. Biegler

Journal:

Computers & Chemical Engineering

Year:

2000

Language:

english

File:

PDF, 207 KB

english, 2000

23

SDP approximability of relative robust QP

Raphael Hauser, Reha Tütüncü

Journal:

Year:

2007

Language:

english

File:

PDF, 118 KB

english, 2007

24

Quadratic convergence of potential-reduction methods for degenerate problems

Reha H. Tütüncü

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 269 KB

english, 2001

25

Satisfying convex risk limits by trading

Kasper Larsen, Traian A. Pirvu, Steven E. Shreve, Reha Tütüncü

Journal:

Finance and Stochastics

Year:

2005

Language:

english

File:

PDF, 260 KB

english, 2005

26

An infeasible-interior-point potential-reduction algorithm for linear programming

Reha H. Tütüncü

Journal:

Mathematical Programming

Year:

1999

Language:

english

File:

PDF, 156 KB

english, 1999

27

Asymptotic Behavior of Continuous Trajectories for Primal-Dual Potential-Reduction Methods

Tütüncü, Reha H.

Journal:

SIAM Journal on Optimization

Year:

2003

Language:

english

File:

PDF, 163 KB

english, 2003

28

A Primal-Dual Variant of the Iri-Imai Algorithm for Linear Programming

Reha H. Tütüncü

Journal:

Mathematics of Operations Research

Year:

2000

Language:

english

File:

PDF, 621 KB

english, 2000

29

A Primal-Dual Variant of the IRI-IMAI Algorithm for Linear Programming

Tütüncü, Reha H.

Journal:

Mathematics of Operations Research

Year:

2000

Language:

english

File:

PDF, 222 KB

english, 2000

30

Rendezvous Search on the Labeled Line

Chester, Elizabeth J., Tütüncü, Reha H.

Journal:

Operations Research

Year:

2004

Language:

english

File:

PDF, 148 KB

english, 2004

31

Optimisation and quantitative investment management

Khodadadi, Arlen, Tütüncü, Reha H, Zangari, Peter J

Journal:

Journal of Asset Management

Year:

2006

Language:

english

File:

PDF, 128 KB

english, 2006

32

Optimization Methods in Finance || DP models: structuring asset-backed securities

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 84 KB

english, 2006

33

Optimization Methods in Finance || Conic optimization tools

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 169 KB

english, 2006

34

Optimization Methods in Finance || QP models: portfolio optimization

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 261 KB

english, 2006

35

Optimization Methods in Finance || Linear programming: theory and algorithms

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 205 KB

english, 2006

36

Optimization Methods in Finance || DP models: option pricing

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 109 KB

english, 2006

37

Optimization Methods in Finance || NLP models: volatility estimation

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 105 KB

english, 2006

38

Optimization Methods in Finance || Robust optimization: theory and tools

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 165 KB

english, 2006

39

Optimization Methods in Finance || LP models: asset pricing and arbitrage

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 165 KB

english, 2006

40

Optimization Methods in Finance || Stochastic programming: theory and algorithms

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 158 KB

english, 2006

41

Optimization Methods in Finance || Integer programming: theory and algorithms

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 202 KB

english, 2006

42

Optimization Methods in Finance || Integer programming models: constructing an index fund

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 130 KB

english, 2006

43

Optimization Methods in Finance || Conic optimization models in finance

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 200 KB

english, 2006

44

Optimization Methods in Finance || Stochastic programming models: asset/liability management

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 126 KB

english, 2006

45

Optimization Methods in Finance || Robust optimization models in finance

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 144 KB

english, 2006

46

Optimization Methods in Finance || Dynamic programming methods

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 153 KB

english, 2006

47

Optimization Methods in Finance || A probability primer

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 80 KB

english, 2006

48

Optimization Methods in Finance || The revised simplex method

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 105 KB

english, 2006

49

Optimization Methods in Finance || Cones

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 60 KB

english, 2006

50

Optimization Methods in Finance || Introduction

Cornuejols, Gerard, Tutuncu, Reha

Year:

2006

Language:

english

File:

PDF, 132 KB

english, 2006

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