Martin B. Haugh

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Technical note -- Multimarket Cournot equilibria with heterogeneous resource-constrained firms Operations Research	2024-07-29	Paper
Play Like the Pros? Solving the Game of Darts as a Dynamic Zero-Sum Game INFORMS Journal on Computing	2022-12-01	Paper
Wasserstein Logistic Regression with Mixed Features	2022-05-26	Paper
Scenario analysis for derivative portfolios via dynamic factor models Quantitative Finance	2021-06-02	Paper
Information Relaxation Bounds for Partially Observed Markov Decision Processes IEEE Transactions on Automatic Control	2020-10-07	Paper
Asset allocation and derivatives Quantitative Finance	2019-01-14	Paper
Information relaxation bounds for infinite horizon Markov decision processes Operations Research	2017-12-15	Paper
Tax-aware dynamic asset allocation Operations Research	2016-10-31	Paper
Linear programming and the control of diffusion processes INFORMS Journal on Computing	2016-04-25	Paper
Consistent Pricing of Options on Leveraged ETFs SIAM Journal on Financial Mathematics	2015-08-28	Paper
Dynamic portfolio execution and information relaxations SIAM Journal on Financial Mathematics	2015-01-20	Paper
Linear-quadratic control and information relaxations Operations Research Letters	2013-03-05	Paper
Erratum to ``A unified approach to multiple stopping and duality Operations Research Letters	2012-11-08	Paper
A unified approach to multiple stopping and duality Operations Research Letters	2012-09-18	Paper
A note on constant proportion trading strategies Operations Research Letters	2011-08-19	Paper
The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies Quantitative Finance	2011-04-29	Paper
Supply contracts with financial hedging Operations Research	2010-03-06	Paper
Evaluating Portfolio Policies: A Duality Approach Operations Research	2009-08-13	Paper
Pricing American Options: A Duality Approach Operations Research	2009-07-10	Paper
Optimal Control and Hedging of Operations in the Presence of Financial Markets Mathematics of Operations Research	2008-05-27	Paper
scientific article; zbMATH DE number 1186218 (Why is no real title available?)	1999-05-27	Paper

Research outcomes over time

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