Martin B. Haugh

According to our database, Martin B. Haugh authored at least 24 papers between 2001 and 2023.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2023

Counterfactual Analysis in Dynamic Latent State Models.

Martin B. Haugh, Raghav Singal

Proceedings of the International Conference on Machine Learning, 2023

2022

Play Like the Pros? Solving the Game of Darts as a Dynamic Zero-Sum Game.

Martin B. Haugh, Chun Wang

INFORMS J. Comput., 2022

Counterfactual Analysis in Dynamic Models: Copulas and Bounds.

Martin Haugh, Raghav Singal

CoRR, 2022

Wasserstein Logistic Regression with Mixed Features.

Aras Selvi, Mohammad Reza Belbasi, Martin Haugh, Wolfram Wiesemann

Proceedings of the Advances in Neural Information Processing Systems 35: Annual Conference on Neural Information Processing Systems 2022, 2022

2021

How to Play Fantasy Sports Strategically (and Win).

Martin B. Haugh, Raghav Singal

Manag. Sci., 2021

2020

Information Relaxation Bounds for Partially Observed Markov Decision Processes.

Martin B. Haugh, Octavio Ruiz Lacedelli

IEEE Trans. Autom. Control., 2020

2017

Information Relaxation Bounds for Infinite Horizon Markov Decision Processes.

David B. Brown, Martin B. Haugh

Oper. Res., 2017

A Cournot-Stackelberg Model of Supply Contracts with Financial Hedging and Identical Retailers.

René Caldentey, Martin Haugh

Found. Trends Technol. Inf. Oper. Manag., 2017

2016

Tax-Aware Dynamic Asset Allocation.

Martin Haugh, Garud Iyengar, Chun Wang

Oper. Res., 2016

2015

Consistent Pricing of Options on Leveraged ETFs.

Andrew Ahn, Martin B. Haugh, Ashish Jain

SIAM J. Financial Math., 2015

Linear Programming and the Control of Diffusion Processes.

Andrew Ahn, Martin B. Haugh

INFORMS J. Comput., 2015

2014

Dynamic Portfolio Execution and Information Relaxations.

Martin Haugh, Chun Wang

SIAM J. Financial Math., 2014

Information Relaxations and Dynamic Zero-Sum Games.

Martin Haugh, Chun Wang

CoRR, 2014

2012

Linear-quadratic control and information relaxations.

Martin Haugh, Andrew E. B. Lim

Oper. Res. Lett., 2012

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

Shyam S. Chandramouli, Martin B. Haugh

Oper. Res. Lett., 2012

A unified approach to multiple stopping and duality.

Shyam S. Chandramouli, Martin B. Haugh

Oper. Res. Lett., 2012

2011

A note on constant proportion trading strategies.

Martin B. Haugh

Oper. Res. Lett., 2011

2009

Supply Contracts with Financial Hedging.

René Caldentey, Martin B. Haugh

Oper. Res., 2009

2007

Path-wise estimators and cross-path regressions: an application to evaluating portfolio strategies.

Martin B. Haugh, Ashish Jain

Proceedings of the Winter Simulation Conference, 2007

2006

Optimal Control and Hedging of Operations in the Presence of Financial Markets.

René Caldentey, Martin B. Haugh

Math. Oper. Res., 2006

Evaluating Portfolio Policies: A Duality Approach.

Martin B. Haugh, Leonid Kogan, Jiang Wang

Oper. Res., 2006

2004

Pricing American Options: A Duality Approach.

Martin B. Haugh, Leonid Kogan

Oper. Res., 2004

2003

New simulation methodology for finance: duality theory and simulation in financial engineering.

Martin B. Haugh

Proceedings of the 35th Winter Simulation Conference: Driving Innovation, 2003

2001

Computational challenges in portfolio management.

Martin B. Haugh, Andrew W. Lo

Comput. Sci. Eng., 2001