Research

Generative distributionally robust optimization

with Ziwei Zhang* and Zhihao Jin*

Harnessing heterogeneous data for conditional optimization via optimal transport

with Qinyu Wu

The virtue of sparsity in complexity

with Nima Afsharhajari*

Generative adversarial regression (GAR): learning conditional risk scenarios

with Saeed Asadi*

Conditional risk minimization with side information: a tractable, universal optimal transport framework

with Xinqiao Xie*

When Wasserstein DRO reduces exactly: complete characterization of projection equivalence and regularization

with Chenling Huang* and Tiantian Mao

Robust portfolio choice under a continuum of downside risk preferences

with Chenling Huang* and Tiantian Mao

Reconciling risk‑aversion paradoxes in the distribution‑free newsvendor problem: Scarf's rule meets dual utility

with Tiantian Mao and Reza Valimoradi*

Wasserstein‑Kelly portfolios: a robust data‑driven solution to optimize portfolio growth

A general Wasserstein framework for data‑driven distributionally robust optimization: tractability and applications

with Tiantian Mao

On generalization and regularization via Wasserstein distributionally robust optimization

with Qinyu Wu* and Tiantian Mao

Management Science, 72(7), 6104-6119 · 2026

Natural Language Processing for risk-stratification of emergency department patients with chest pain

with Reza Valimoradi* and co-authors

CJC Open · 2026

Distributionally robust optimization under distorted expectations

with Jun Cai and Tiantian Mao

Operations Research, 73(2), 969–985 · 2025

WaveCorr: Deep reinforcement learning with permutation invariant convolutional policy networks for portfolio management

with Saeed Marzban*, Erick Delage, Jeremie Desgagne‑Bouchard, and Carl Dussault

Operations Research Letters, 51(6), 680–686 · 2023

Deep reinforcement learning for equal risk pricing and hedging under dynamic expectile risk measures

with Saeed Marzban* and Erick Delage

Quantitative Finance, 23(10), 1411–1430 · 2023

Equal risk pricing and hedging of financial derivatives with convex risk measures

with Saeed Marzban* and Erick Delage

Quantitative Finance, 22(1), 47–73 · 2022

Inverse optimization of convex risk functions

Management Science, 67(11), 7113–7141 · 2021

Closed‑form solutions for worst‑case law invariant risk measures with application to robust portfolio optimization

Operations Research, 66(6), 1533–1541 · 2018

Minimizing risk exposure when the choice of a risk measure is ambiguous

with Erick Delage

Management Science, 64(1), 327–344 · 2018

A stochastic semidefinite programming approach for bounds on option pricing under regime switching

with Roy H. Kwon

Annals of Operations Research, 237(1–2), 41–75 · 2016

Portfolio selection under model uncertainty: a penalized moment‑based optimization approach

with Roy H. Kwon

Journal of Global Optimization, 56(1), 131–164 · 2013

Market price‑based convex risk measures: a distribution‑free optimization approach

with Roy H. Kwon

Operations Research Letters, 40(2), 128–133 · 2012

A moment approach to bounding exotic options under regime switching

with Michael Jong Kim and Roy H. Kwon

Optimization, 61(10), 1253–1269 · 2012