Diana Roman
Diana Roman
lecturer in Operations Research and Financial Engineering
Verified email at brunel.ac.uk
Cited by
Cited by
Portfolio construction based on stochastic dominance and target return distributions
D Roman, K Darby-Dowman, G Mitra
Mathematical Programming 108 (2), 541-569, 2006
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
Physics, Technology and the Nuclear Arms Race: Aip Conference Proceedings
DW Hafemeister, D Schroeer
American Institute of physics, 1983
Processing second-order stochastic dominance models using cutting-plane representations
CI Fábián, G Mitra, D Roman
Mathematical Programming 130 (1), 33-57, 2011
Enhanced indexation based on second-order stochastic dominance
D Roman, G Mitra, V Zverovich
European Journal of Operational Research 228 (1), 273-281, 2013
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
Portfolio selection models: A review and new directions
D Roman, G Mitra
Wilmott Journal: The International Journal of Innovative Quantitative …, 2009
Hidden Markov models for financial optimization problems
D Roman, G Mitra, N Spagnolo
IMA Journal of Management Mathematics 21 (2), 111-129, 2010
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
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
HMM based scenario generation for an investment optimisation problem
C Erlwein, G Mitra, D Roman
Annals of Operations Research 193 (1), 173-192, 2012
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
Novel approaches for portfolio construction using second order stochastic dominance
CA Valle, D Roman, G Mitra
Computational Management Science 14 (2), 257-280, 2017
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
Portfolio optimisation using risky assets with options as derivative insurance
MA Maasar, D Roman
5th Student Conference on Operational Research (SCOR 2016), 2016
Portfolio optimisation models and properties of return distributions
D Roman, K Darby-Dowman, G Mitra
Brunel University, 2004
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
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
Models for choice under risk with applications to optimum asset allocation
D Roman
Brunel University, 2006
Risk minimisation using options and risky assets
MA Maasar, D Roman, P Date
Operational Research, 1-22, 2020
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