Research

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Grants

  • First Republic Bank (2015-16), "A Survey of Asset Allocation Practices of Leading University Endowments," co-principal investigator.
  • Shelby and Kathryn Davis Grant and the Carnegie Corporation (2010-2011), "Probabilistic Analysis of Terrorism as Rare Events," co-principal investigator.
  • National Science Foundation (2003-2007), "Decentralized Risk Management for Large Financial Companies," principal investigator.
  • Bendheim Center for Finance, Princeton University (2000-2005), "Alternative Investments Research," principal investigator.
  • Merrill Lynch, research on financial econometrics and optimization (1998-2002).
  • Air Force Office of Scientific Research (1995-1998), "Robust Optimization," principal investigator.
  • National Science Foundation -- together with USWest and Bellcore (1994-1997), "Robust Optimization in Telecommunications," principal investigator.
  • National Science Foundation (1992-1995), "Computational Research on Decomposition Method for Linear Multistage Stochastic Programming," principal investigator.
  • National Science Foundation (1991-1996), "Algorithms for Large-Scale Stochastic Optimization," principal investigator.
  • Air Force Office of Scientific Research (1991-1995), "Robust Optimization of Large-Scale Systems: An Emerging New Technology," principal investigator.
  • National Science Foundation (1991-1995), "The Ethics of Computerized Decision Procedures: Uncovering Biases and Value Assumptions," principal investigator.
  • IBM Corporation (1989-1991), "Managing Currency Risks Using Stochastic Optimization," principal investigator.
  • National Science Foundation (1987-1991), "Large Scale Nonlinear Network Algorithms," principal investigator.
  • National Science Foundation (1989-1990), "Visual Display of Network Planning Model," principal investigator.
  • IBM Corporation (1985-1988), "Combining Simulation and Optimization Modeling," principal investigator.
  • Alfred P. Sloan Foundation (1984-1991), "Modern Engineering Technology and the New Liberal Arts," co-principal investigator.
  • National Science Foundation (1984-1986), "Solving Generalized Networks with Convex Costs," principal investigator.
  • Army, Concept Analysis Agency (1985), "Network Models for Personnel Planning," principal investigator.
  • Federal Aviation Administration (1984-1985), "Development of Safety Assessment Criteria," principal investigator.
  • National Aeronautics and Space Administration (1984-1985), "An Optimization Model for the U.S. Air Traffic System," principal investigator.
  • Internal Revenue Service (1980-1984), "Forming the Statistics of Income File by Stratified Sampling: An Application of Optimal Cluster Analysis," principal investigator.
  • National Science Foundation and National Endowment for the Humanities (1981-1984), "A Study of Ethical Issues Associated with Computer-Based Decision Procedures," principal investigator.
  • National Bureau of Standards and U.S. Department of Energy, "Testing and Validating Algorithms and Software," Conference in Boulder, Colorado, January 4-5, 1981, principal investigator.
  • National Science Foundation, "Testing Mathematical Programming Software," (1980), ARC, Inc., principal investigator.
  • Mott Foundation (1980), "Incentive-Based Resource Recovering Systems," principal investigator.
  • National Science Foundation (1979-1983), "Comparing Decision Procedures in the Context of Competing Social Values," principal investigator.
  • Fellowships

  • Graduate School of Management - UCLA - Research Assistantship.
  • Western Management Science Institute - Post Graduate Research Award.
  • Illiac IV Project Research Assistantship.
  • National Science Foundation Research Grant.
  • University of Illinois Work Study Fellowship.
  • Other

  • Fellow, Institute for Operations Research and Management Science, 2005
  • Finalist, Edelman prize for Towers Perrin - Tillinghast investment system, 1999
  • Who's Who in Frontier Science and American Education
  • Beta Gamma Sigma
  • American Institute of Decision Sciences, Doctoral Dissertation Winner.
  • Gamma Epsilon, Engineering Honor Society.
  • Senior editor for journals, including Mathematical Programming, Journal of Economic Dynamics and Control, Journal of Investment Consulting, Portfolio Management, and Quantitative Finance.