My research focuses on the design, analysis, and application of
optimization models and methods for managerial decision making. I have
worked on three different areas: portfolio selection, equilibrium
modeling and computation, and decomposition methods for stochastic
optimization and large-scale optimization.
Portfolio selection
Portfolio optimization in the
presence of capital gains taxes.
Portfolio optimization in the
presence of estimation error.
Robust portfolio optimization
and estimation.
Equilibrium modeling and computation
Modeling economic equilibria in
airline revenue management, telecommunication markets, and supply
chains.
Equilibrium existence and
uniqueness.
Methodologies for
equilibrium computation.
Decomposition methods for stochastic and large-scale optimization
Modeling decision making under
uncertainty via stochastic optimization problems.
Decomposition of large-scale
optimization problems such as stochastic optimization and
multidisciplinary design optimization problems.
Convergence theory of
interior-point decomposition methods.