Brown David B

David B Brown

Information about the author David B Brown will soon be added to the site.
Found 7 papers in total
Aspirational Preferences and Their Representation by Risk Measures
Aspirational Preferences and Their Representation by Risk Measures
2012
We consider choice over uncertain, monetary payoffs and study a general class of...
Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds
Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds
2011
We consider the problem of dynamic portfolio optimization in a discrete-time,...
Optimal Portfolio Liquidation with Distress Risk
Optimal Portfolio Liquidation with Distress Risk
2010
We analyze the problem of an investor who needs to unwind a portfolio in the face of...
Information relaxations and duality in stochastic dynamic programs
Information relaxations and duality in stochastic dynamic programs
2010
We describe a general technique for determining upper bounds on maximal values (or...
A soft robust model for optimization under ambiguity
A soft robust model for optimization under ambiguity
2010
In this paper, we propose a framework for robust optimization that relaxes the...
Constructing uncertainty sets for robust linear optimization
Constructing uncertainty sets for robust linear optimization
2009
In this paper, we propose a methodology for constructing uncertainty sets within the...
Satisficing Measures for Analysis of Risky Positions
Satisficing Measures for Analysis of Risky Positions
2009
In this work we introduce a class of measures for evaluating the quality of financial...
Papers per page: