Diana Roman
Diana Roman
lecturer in Operations Research and Financial Engineering
Verified email at brunel.ac.uk
Title
Cited by
Cited by
Year
Portfolio construction based on stochastic dominance and target return distributions
D Roman, K Darby-Dowman, G Mitra
Mathematical Programming 108 (2), 541-569, 2006
1282006
Mean-risk models using two risk measures: a multi-objective approach
D Roman, K Darby-Dowman, G Mitra
Quantitative Finance 7 (4), 443-458, 2007
1222007
Physics, Technology and the Nuclear Arms Race: Aip Conference Proceedings
DW Hafemeister, D Schroeer
American Institute of physics, 1983
115*1983
Processing second-order stochastic dominance models using cutting-plane representations
CI Fábián, G Mitra, D Roman
Mathematical Programming 130 (1), 33-57, 2011
972011
Enhanced indexation based on second-order stochastic dominance
D Roman, G Mitra, V Zverovich
European Journal of Operational Research 228 (1), 273-281, 2013
762013
An enhanced model for portfolio choice with SSD criteria: a constructive approach
CI Fábián, G Mitra, D Roman, V Zverovich
Quantitative Finance 11 (10), 1525-1534, 2011
652011
Portfolio selection models: A review and new directions
D Roman, G Mitra
Wilmott Journal: The International Journal of Innovative Quantitative …, 2009
532009
Hidden Markov models for financial optimization problems
D Roman, G Mitra, N Spagnolo
IMA Journal of Management Mathematics 21 (2), 111-129, 2010
222010
An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
K Ponomareva, D Roman, P Date
European Journal of Operational Research 240 (3), 678-687, 2015
202015
Long-short portfolio optimisation in the presence of discrete asset choice constraints and two risk measures
R Kumar, G Mitra, D Roman
Available at SSRN 1099926, 2008
142008
HMM based scenario generation for an investment optimisation problem
C Erlwein, G Mitra, D Roman
Annals of Operations Research 193 (1), 173-192, 2012
132012
Portfolio choice models based on second-order stochastic dominance measures: an overview and a computational study
CI Fábián, G Mitra, D Roman, V Zverovich, T Vajnai, E Csizmás, O Papp
Stochastic optimization methods in finance and energy, 441-469, 2011
122011
Novel approaches for portfolio construction using second order stochastic dominance
CA Valle, D Roman, G Mitra
Computational Management Science 14 (2), 257-280, 2017
92017
Scenario generation for financial modelling: Desirable properties and a case study
L Mitra, G Mitra, D Roman
OptiRisk Systems: White Paper Series, OPT 10, 1-20, 2009
82009
Portfolio optimisation using risky assets with options as derivative insurance
MA Maasar, D Roman
5th Student Conference on Operational Research (SCOR 2016), 2016
42016
Portfolio optimisation models and properties of return distributions
D Roman, K Darby-Dowman, G Mitra
Brunel University, 2004
42004
An asset and liability management (ALM) model using integrated chance constraints
SAS Hussin, G Mitra, D Roman
AIP Conference Proceedings 1635 (1), 558-565, 2014
22014
Employees’ Provident Funds of Singapore, Malaysia, India and Sri Lanka: a Comparative Study
SS Hussin, G Mitra, D Roman, W Kamaruzaman, W Ahmad
Asset and Liability Management Handbook, 181-207, 2011
22011
Models for choice under risk with applications to optimum asset allocation
D Roman
Brunel University, 2006
22006
Risk minimisation using options and risky assets
MA Maasar, D Roman, P Date
Operational Research, 1-22, 2020
12020
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Articles 1–20