Dr. Chanaka Edirisinghe
Professor
Selected Publications:
Finance-related publications:
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"Stochastic Programming Approximations Using Limited Moment Information, with Applications to Asset Allocation," book chapter in: Advances in Mathematical Programming: State-of-the-art in Stochastic Programming, in Honor of George Dantzig, (ed. G. Infanger), Kluwer, Nov 2010, in press.
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“An optimized DEA-based Financial Strength Indicator of Stock Returns for U.S. Markets,” in: Applications of Management Science, Vol. 14, (ed. K.D. Lawrence), Emerald Publishing, Nov 2010, in press. Co-author: X. Zhang
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"Input/output Selection in DEA under Expert Information, with Application to Financial Markets,” European Journal of Operational Research, 207(3), pp 1669-1678, 2010. Co-author: X. Zhang
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"Pricing Swing Options in the Electricity Markets under Regime-switching Uncertainty,” Quantitative Finance, Vol 10 (9), 2010. Co-authors: M.I.M. Wahab and Z. Yin
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"Portfolio Selection Under DEA-based Relative Financial Strength Indicators: Case of U.S. Industries," The Journal of the Operational Research Society, 59, pp 842-856, 2008. Co-author: X. Zhang
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"Integrated Risk Control Using Stochastic Programming ALM models for Money Management," book Chapter in: Handbook of Asset and Liability Management, (Editors: S.A. Zenios and W.T. Ziemba), North Holland, 2008, pp. 707-750.
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"Multiperiod Stochastic Portfolio Optimization: Block-Separable Decomposition," Annals of Operations Research, 152, pp. 367-394, 2007. Co-author: with E.I. Patterson
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"Generalized DEA Model of Fundamental Analysis and Its Application to Portfolio Optimization," Journal of Banking and Finance, 31, pp. 3311-3335, 2007. Co-author: X. Zhang
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"Multiperiod Portfolio Optimization With Terminal Liability: Bounds for the Convex Case," Computational Optimization and Applications, 32, pp. 29-59, 2005.
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"Optimal Replication of Options With Transactions Costs and Trading Restrictions,'' Journal of Financial and Quantitative Analysis, Vol 28, pp 117-138, 1993. Co-authors: V. Naik, and R. Uppal.
Operations Research theory and applications (non-finance) publications:
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"Generalized Pickup and Delivery Problem with Dynamic Time Windows," International Journal of Operational Research, 8(1), pp 85-109, 2010. Co-authors: M. Bowers and A. Agarwal.
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“Approximating Expectation Functionals for Financial Optimization”, European Journal of Pure and Applied Mathematics, Vol 3, No 3, pp 572-592, 2010.
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"Stochastic Programs with Recourse: Upper Bounds," Encyclopedia of Optimization, Second Edition, (eds. Floudas and Pardalos), Springer, 2009, pp 3797-3801, ISBN 978-0-387-74758-3. Co-author: S.W. Wallace
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"Multi-Stage and Dynamic Stochastic Models for the Operation of a Multipurpose Water Reservoir,” WSEAS Transactions on Business and Economics Journal, 3(1), pp. 1-8, 2006. Co-author: N. Saadouli
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"Capacity Planning Model for a Multipurpose Water Reservoir with Target-priority Operation,” Annals of Operations Research, 100, pp. 234-257, 2000. Co-authors: E.I. Patterson and N. Saadouli
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"Bound-Based Approximations in Multiperiod Stochastic Programming: Nonanticipativity Aggregation," Annals of Operations Research, Vol 84, pp. 103-127, 1999.
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"Implementing Bounds-Based Approximations in Convex-Concave Two-Stage Stochastic Programming," Mathematical Programming, Vol 75, pp. 295-325, 1996. Co-author: W.T. Ziemba.
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"New Second-order Bounds on the Expectation of Saddle Functions, with Applications to Stochastic Linear Programming," Operations Research, Vol 44, No 6, pp. 909-922, 1996.
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"Second-Order Scenario Approximation and Refinement in Optimization Under Uncertainty," Annals of Operations Research, Vol 64, pp 143-178, 1996. Co-author: G-M. You.
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"Bounding the Expectation of a Saddle Function, With Application to Stochastic Programming,'' Mathematics of Operations Research, Vol 19, pp. 314-340, 1994. Co-author: W.T. Ziemba.
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"Bounds for Two-stage Stochastic Programs with Fixed Recourse," Mathematics of Operations Research, Vol 19, pp 292-313, 1994. Co-author: W.T. Ziemba.
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"Bounds on Stochastic Convex Allocation Problems,'' Applied Stochastic Models and Data Analysis, Vol 10, pp 123-140, 1994. Co-authors: D. Atkins and P. Iyogun.
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"Tight Bounds for Stochastic Convex Programs,'' Operations Research, Vol 40, No 4, pp 660-677, 1992. Co-author: W.T. Ziemba.
Links:
Selected Invited Presentations
