Martin Brendan Haugh

Imperial College Business School

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

13

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74

CROSSREF CITATIONS

33

Scholarly Papers (13)

Pricing American Options: A Duality Approach

Mit Sloan Working Paper No. 4340-01
Number of pages: 40 Posted: 05 Feb 2002
Martin Brendan Haugh and Leonid Kogan
Imperial College Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,428 (13,780)
Citation 38

Abstract:

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Asset pricing, dynamic programming, simulation, American option, optimal stopping, duality

Pricing American Options: A Duality Approach

Operations Research, Forthcoming
Posted: 11 Mar 2003
Leonid Kogan and Martin Brendan Haugh
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Imperial College Business School

Abstract:

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2.

A Generalized Risk Budgeting Approach to Portfolio Construction

Number of pages: 28 Posted: 05 Jul 2014 Last Revised: 09 Jan 2016
Martin Brendan Haugh, Garud Iyengar and Irene Song
Imperial College Business School, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 987 (24,514)
Citation 3

Abstract:

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Risk Parity, Risk Budgeting, MCMC, Augmented Lagrangian, Portfolio Optimization, Semidefinite Programming

3.

Consistent Pricing of Options on Leveraged ETFs

Number of pages: 43 Posted: 21 Sep 2012 Last Revised: 22 Oct 2014
Andrew Ahn, Martin Brendan Haugh and Ashish Jain
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Imperial College Business School and Independent
Downloads 762 (35,252)
Citation 6

Abstract:

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ETFs, leveraged ETFs, options

4.

A Note on Constant Proportion Trading Strategies

Number of pages: 16 Posted: 15 Jun 2010 Last Revised: 10 Mar 2011
Martin Brendan Haugh
Imperial College Business School
Downloads 516 (58,843)
Citation 4

Abstract:

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Leveraged ETFs, constant-proportion trading strategies

5.
Downloads 465 ( 66,933)
Citation 8

Evaluating Portfolio Policies: A Duality Approach

MIT Sloan Working Paper No. 4329-03
Number of pages: 26 Posted: 22 Jul 2003
Martin Brendan Haugh, Leonid Kogan and Jiang Wang
Imperial College Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 414 (76,374)
Citation 4

Abstract:

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Portfolio Choice, Duality, Dynamic Programming, Constraints, Monte Carlo, Simulation

Evaluating Portfolio Policies: A Duality Approach

NBER Working Paper No. w9861
Number of pages: 26 Posted: 20 Jul 2003 Last Revised: 24 Sep 2009
Martin Brendan Haugh, Leonid Kogan and Jiang Wang
Imperial College Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 51 (425,753)
Citation 1

Abstract:

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6.

Tax-Aware Dynamic Asset Allocation

Number of pages: 30 Posted: 06 Jan 2014 Last Revised: 09 Jan 2016
Martin Brendan Haugh, Garud Iyengar and Chun Wang
Imperial College Business School, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Tsinghua University, School of Economics and Management
Downloads 349 (93,828)
Citation 17

Abstract:

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Dynamic asset allocation, taxes, sub-optimal control, duality, information relaxations

7.

Optimal Control and Hedging of Operations in the Presence of Financial Markets

Number of pages: 26 Posted: 05 Oct 2003
Rene Caldentey and Martin Brendan Haugh
University of Chicago - Booth School of Business and Imperial College Business School
Downloads 341 (96,271)
Citation 15

Abstract:

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Operations management, portfolio optimization, stochastic control, incomplete markets

8.

The Dual Approach to Portfolio Evaluation: A Comparison of the Static, Myopic and Generalized Buy-and-Hold Strategies

Number of pages: 32 Posted: 27 Oct 2009 Last Revised: 29 Oct 2009
Martin Brendan Haugh and Ashish Jain
Imperial College Business School and Independent
Downloads 310 (106,925)
Citation 1

Abstract:

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9.

How to Play Fantasy Sports Strategically (and Win)

Number of pages: 58 Posted: 31 May 2019 Last Revised: 16 Sep 2019
Martin Brendan Haugh and Raghav Singal
Imperial College Business School and Columbia University
Downloads 309 (107,331)

Abstract:

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10.

Supply Contracts with Financial Hedging

NYU Working Paper No. OM-2005-02
Number of pages: 39 Posted: 03 Nov 2008
Ren'e Caldentey and Martin Brendan Haugh
affiliation not provided to SSRN and Imperial College Business School
Downloads 99 (290,958)
Citation 3

Abstract:

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Procurement contract, ¯nancial constraints, supply chain coordination

11.

Scenario Analysis for Derivatives Portfolios via Dynamic Factor Models

Number of pages: 43 Posted: 23 Jul 2019 Last Revised: 22 Nov 2019
Martin Brendan Haugh and Octavio Ruiz Lacedelli
Imperial College Business School and Columbia University
Downloads 96 (296,788)

Abstract:

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12.

Dynamic Portfolio Execution and Information Relaxations

Posted: 10 Sep 2012 Last Revised: 10 Jun 2014
Martin Brendan Haugh and Chun Wang
Imperial College Business School and Tsinghua University, School of Economics and Management

Abstract:

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portfolio execution, sub-optimal control, martingale duality

13.

A Unified Approach to Multiple Stopping and Duality

Posted: 16 Dec 2011 Last Revised: 01 Jun 2012
Shyam S. Chandramouli and Martin Brendan Haugh
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Imperial College Business School

Abstract:

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Multiple stopping, duality, swing options