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Martin B. Haugh
Person information
- affiliation: Columbia University, New York, USA
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2020 – today
- 2024
- [j19]René Caldentey
, Martin B. Haugh
Technical Note - Multimarket Cournot Equilibria with Heterogeneous Resource-Constrained Firms. Oper. Res. 72(3): 940-956 (2024) - [i3]Martin Haugh, Raghav Singal:
A Counterfactual Analysis of the Dishonest Casino. CoRR abs/2405.15120 (2024) - 2023
- [c4]Martin B. Haugh, Raghav Singal:
Counterfactual Analysis in Dynamic Latent State Models. ICML 2023: 12647-12677 - 2022
- [j18]Martin B. Haugh
Play Like the Pros? Solving the Game of Darts as a Dynamic Zero-Sum Game. INFORMS J. Comput. 34(5): 2540-2551 (2022) - [c3]Aras Selvi, Mohammad Reza Belbasi, Martin Haugh, Wolfram Wiesemann:
Wasserstein Logistic Regression with Mixed Features. NeurIPS 2022 - [i2]Martin Haugh, Raghav Singal:
Counterfactual Analysis in Dynamic Models: Copulas and Bounds. CoRR abs/2205.13832 (2022) - 2021
- [j17]Martin B. Haugh
How to Play Fantasy Sports Strategically (and Win). Manag. Sci. 67(1): 72-92 (2021) - 2020
- [j16]Martin B. Haugh
Information Relaxation Bounds for Partially Observed Markov Decision Processes. IEEE Trans. Autom. Control. 65(8): 3256-3271 (2020)
2010 – 2019
- 2017
- [j15]René Caldentey
A Cournot-Stackelberg Model of Supply Contracts with Financial Hedging and Identical Retailers. Found. Trends Technol. Inf. Oper. Manag. 11(1-2): 124-143 (2017) - [j14]David B. Brown
Information Relaxation Bounds for Infinite Horizon Markov Decision Processes. Oper. Res. 65(5): 1355-1379 (2017) - 2016
- [j13]Martin Haugh, Garud Iyengar, Chun Wang:
Tax-Aware Dynamic Asset Allocation. Oper. Res. 64(4): 849-866 (2016) - 2015
- [j12]Andrew Ahn, Martin B. Haugh:
Linear Programming and the Control of Diffusion Processes. INFORMS J. Comput. 27(4): 646-657 (2015) - [j11]Andrew Ahn, Martin B. Haugh, Ashish Jain:
Consistent Pricing of Options on Leveraged ETFs. SIAM J. Financial Math. 6(1): 559-593 (2015) - 2014
- [j10]Martin Haugh, Chun Wang:
Dynamic Portfolio Execution and Information Relaxations. SIAM J. Financial Math. 5(1): 316-359 (2014) - [i1]Martin Haugh, Chun Wang:
Information Relaxations and Dynamic Zero-Sum Games. CoRR abs/1405.4347 (2014) - 2012
- [j9]Shyam S. Chandramouli, Martin B. Haugh:
A unified approach to multiple stopping and duality. Oper. Res. Lett. 40(4): 258-264 (2012) - [j8]Shyam S. Chandramouli, Martin B. Haugh:
Erratum to "A unified approach to multiple stopping and duality" [Oper. Res. Lett. (2012)]. Oper. Res. Lett. 40(5): 422-423 (2012) - [j7]Martin Haugh, Andrew E. B. Lim:
Linear-quadratic control and information relaxations. Oper. Res. Lett. 40(6): 521-528 (2012) - 2011
- [j6]Martin B. Haugh:
A note on constant proportion trading strategies. Oper. Res. Lett. 39(3): 172-179 (2011)
2000 – 2009
- 2009
- [j5]René Caldentey
Supply Contracts with Financial Hedging. Oper. Res. 57(1): 47-65 (2009) - 2007
- [c2]Martin B. Haugh, Ashish Jain:
Path-wise estimators and cross-path regressions: an application to evaluating portfolio strategies. WSC 2007: 1013-1020 - 2006
- [j4]Martin B. Haugh, Leonid Kogan, Jiang Wang:
Evaluating Portfolio Policies: A Duality Approach. Oper. Res. 54(3): 405-418 (2006) - [j3]René Caldentey
Optimal Control and Hedging of Operations in the Presence of Financial Markets. Math. Oper. Res. 31(2): 285-304 (2006) - 2004
- [j2]Martin B. Haugh, Leonid Kogan:
Pricing American Options: A Duality Approach. Oper. Res. 52(2): 258-270 (2004) - 2003
- [c1]Martin B. Haugh:
New simulation methodology for finance: duality theory and simulation in financial engineering. WSC 2003: 327-334 - 2001
- [j1]Martin B. Haugh, Andrew W. Lo:
Computational challenges in portfolio management. Comput. Sci. Eng. 3(3): 54-59 (2001)
Coauthor Index
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