Faculty profiles

Picture of Gah-Yi Vahn

Gah-Yi Vahn

PhD (Berkeley) MA (Berkeley) BSc (University of Sydney)
Assistant Professor of Management Science and Operations

Subject area:
Management Science and Operations
Personal site:
Personal web page

Publications

'Performance-based regularization in mean-CVaR portfolio optimization' (with AEB Lim and N El Karoui), Under review (2013), 'Robust portfolio choice with learning in the framework of regret: single period case' (with AEB Lim and GJ Shanthikumar), Management Science (2012), 'Conditional Value-at-Risk in portfolio optimization: coherent but fragile' (with AEB Lim and GJ Shanthikumar), Operations Research Letters (2011).

Research interest

Developing and applying new methods for decision-making in data-intensive settings. Particularly interested in financial risk management, business analytics and healthcare operations.

Other activities

Reviewer for Operations Research, Former Quantitative Summer Associate at Credit Suisse Securities.

Contact Details

Email: gvahn@london.edu

tel: +44 (0)20 7000 8847
fax: +44 (0)20 7000 7001

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