Martin Haugh
Title
Cited by
Cited by
Year
Pricing American options: a duality approach
MB Haugh, L Kogan
Operations Research 52 (2), 258-270, 2004
5472004
Supply contracts with financial hedging
R Caldentey, MB Haugh
Operations Research 57 (1), 47-65, 2009
1982009
Optimal control and hedging of operations in the presence of financial markets
R Caldentey, M Haugh
Mathematics of Operations Research 31 (2), 285-304, 2006
1562006
Asset allocation and derivatives
MB Haugh, AW Lo
Taylor & Francis Group 1 (1), 45-72, 2001
892001
Evaluating portfolio policies: A duality approach
MB Haugh, L Kogan, J Wang
Operations Research 54 (3), 405-418, 2006
452006
Information relaxation bounds for infinite horizon markov decision processes
DB Brown, MB Haugh
Operations Research 65 (5), 1355-1379, 2017
272017
Duality theory and approximate dynamic programming for pricing American options and portfolio optimization
MB Haugh, L Kogan
Handbooks in operations research and management science 15, 925-948, 2007
262007
Consistent pricing of options on leveraged ETFs
A Ahn, M Haugh, A Jain
SIAM Journal on Financial Mathematics 6 (1), 559-593, 2015
252015
A unified approach to multiple stopping and duality
SS Chandramouli, MB Haugh
Operations Research Letters 40 (4), 258-264, 2012
252012
Computational challenges in portfolio management
MB Haugh, AW Lo
Computing in Science & Engineering 3 (3), 54-59, 2001
252001
Linear–quadratic control and information relaxations
M Haugh, AEB Lim
Operations Research Letters 40 (6), 521-528, 2012
182012
Tax-aware dynamic asset allocation
M Haugh, G Iyengar, C Wang
Operations Research 64 (4), 849-866, 2016
172016
A note on constant proportion trading strategies
MB Haugh
Operations Research Letters 39 (3), 172-179, 2011
162011
Dynamic portfolio execution and information relaxations
M Haugh, C Wang
SIAM Journal on Financial Mathematics 5 (1), 316-359, 2014
152014
Duality theory and simulation in financial engineering
MB Haugh
Winter Simulation Conference 1, 327-334, 2003
142003
The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
MB Haugh, A Jain
Quantitative Finance 11 (1), 81-99, 2011
12*2011
A generalized risk budgeting approach to portfolio construction
M Haugh, G Iyengar, I Song
Journal of Computational Finance 21 (2), 29-60, 2017
112017
Information Relaxations and Dynamic Zero-Sum Games
M Haugh, C Wang
arXiv preprint arXiv:1405.4347, 2014
92014
Portfolio optimization with position constraints: An approximate dynamic programming approach
MB Haugh, L Kogan, Z Wu
Working paper. Columbia University and MIT, 2006
92006
Linear programming and the control of diffusion processes
A Ahn, M Haugh
INFORMS Journal on Computing 27 (4), 646-657, 2015
62015
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Articles 1–20