Martin B. Haugh

According to our database1, Martin B. Haugh authored at least 20 papers between 2001 and 2021.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2021
How to Play Fantasy Sports Strategically (and Win).
Manag. Sci., 2021

2020
Information Relaxation Bounds for Partially Observed Markov Decision Processes.
IEEE Trans. Autom. Control., 2020

2017
Information Relaxation Bounds for Infinite Horizon Markov Decision Processes.
Oper. Res., 2017

A Cournot-Stackelberg Model of Supply Contracts with Financial Hedging and Identical Retailers.
Found. Trends Technol. Inf. Oper. Manag., 2017

2016
Tax-Aware Dynamic Asset Allocation.
Oper. Res., 2016

2015
Consistent Pricing of Options on Leveraged ETFs.
SIAM J. Financial Math., 2015

Linear Programming and the Control of Diffusion Processes.
INFORMS J. Comput., 2015

2014
Dynamic Portfolio Execution and Information Relaxations.
SIAM J. Financial Math., 2014

Information Relaxations and Dynamic Zero-Sum Games.
CoRR, 2014

2012
Linear-quadratic control and information relaxations.
Oper. Res. Lett., 2012

Erratum to "A unified approach to multiple stopping and duality" [Oper. Res. Lett. (2012)].
Oper. Res. Lett., 2012

A unified approach to multiple stopping and duality.
Oper. Res. Lett., 2012

2011
A note on constant proportion trading strategies.
Oper. Res. Lett., 2011

2009
Supply Contracts with Financial Hedging.
Oper. Res., 2009

2007
Path-wise estimators and cross-path regressions: an application to evaluating portfolio strategies.
Proceedings of the Winter Simulation Conference, 2007

2006
Optimal Control and Hedging of Operations in the Presence of Financial Markets.
Math. Oper. Res., 2006

Evaluating Portfolio Policies: A Duality Approach.
Oper. Res., 2006

2004
Pricing American Options: A Duality Approach.
Oper. Res., 2004

2003
New simulation methodology for finance: duality theory and simulation in financial engineering.
Proceedings of the 35th Winter Simulation Conference: Driving Innovation, 2003

2001
Computational challenges in portfolio management.
Comput. Sci. Eng., 2001


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