Martin Brendan Haugh

Imperial College Business School

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 8,708

SSRN RANKINGS

Top 8,708

in Total Papers Downloads

5,205

CITATIONS
Rank 10,200

SSRN RANKINGS

Top 10,200

in Total Papers Citations

81

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 1,406 (12,516)
Citation 10

Abstract:

Loading...

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:

Loading...

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 947 (23,232)
Citation 1

Abstract:

Loading...

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 737 (33,030)
Citation 6

Abstract:

Loading...

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 502 (54,684)

Abstract:

Loading...

Leveraged ETFs, constant-proportion trading strategies

5.
Downloads 463 ( 60,540)
Citation 7

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 413 (68,894)
Citation 1

Abstract:

Loading...

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 50 (392,421)

Abstract:

Loading...

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 Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 341 (86,933)
Citation 5

Abstract:

Loading...

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 337 (88,066)
Citation 4

Abstract:

Loading...

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 305 (98,278)

Abstract:

Loading...

9.

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 95 (272,380)

Abstract:

Loading...

Procurement contract, ¯nancial constraints, supply chain coordination

10.

How to Play Fantasy Sports Strategically (and Win)

Number of pages: 53 Posted: 31 May 2019
Martin Brendan Haugh and Raghav Singal
Imperial College Business School and Columbia University
Downloads 58 (360,340)

Abstract:

Loading...

11.

Scenario Analysis for Derivatives Portfolios via Dynamic Factor Models

Number of pages: 41 Posted: 23 Jul 2019
Martin Brendan Haugh and Octavio Ruiz Lacedelli
Imperial College Business School and Columbia University
Downloads 14 (553,787)

Abstract:

Loading...

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 Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Abstract:

Loading...

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:

Loading...

Multiple stopping, duality, swing options