Diana Roman

Publication Activity (10 Years)

Years Active: 2006-2022
Publications (10 Years): 4

Top Topics

Stochastic Dominance

Top Venues

Comput. Manag. Sci.

Eur. J. Oper. Res.

Publications

Mohd A. Maasar, Diana Roman, Paresh Date
Risk minimisation using options and risky assets. Oper. Res. 22 (1) (2022)
Maram Al-Wohaibi, Diana Roman
ALM models based on second order stochastic dominance. Comput. Manag. Sci. 15 (2) (2018)
Cristiano Arbex Valle, Diana Roman, Gautam Mitra
Novel approaches for portfolio construction using second order stochastic dominance. Comput. Manag. Sci. 14 (2) (2017)
Mohd A. Maasar, Diana Roman, Paresh Date
Portfolio Optimisation Using Risky Assets with Options as Derivative Insurance. SCOR (2016)
Ksenia Ponomareva, Diana Roman, Paresh Date
An algorithm for moment-matching scenario generation with application to financial portfolio optimisation. Eur. J. Oper. Res. 240 (3) (2015)
Diana Roman, Gautam Mitra, Victor Zverovich
Enhanced indexation based on second-order stochastic dominance. Eur. J. Oper. Res. 228 (1) (2013)
Christina Erlwein, Gautam Mitra, Diana Roman
HMM based scenario generation for an investment optimisation problem. Ann. Oper. Res. 193 (1) (2012)
Csaba I. Fábián, Gautam Mitra, Diana Roman
Processing second-order stochastic dominance models using cutting-plane representations. Math. Program. 130 (1) (2011)
Diana Roman, Ken Darby-Dowman, Gautam Mitra
Portfolio construction based on stochastic dominance and target return distributions. Math. Program. 108 (2-3) (2006)