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