Kumar Muthuraman

Information, Risk and Operations Management

Asst. Professor

Austin, TX 78712

United States

University of Texas at Austin - Red McCombs School of Business

Professor

Austin, TX 78712

United States

SCHOLARLY PAPERS

17

DOWNLOADS
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Top 15,410

in Total Papers Downloads

5,846

SSRN CITATIONS
Rank 30,561

SSRN RANKINGS

Top 30,561

in Total Papers Citations

25

CROSSREF CITATIONS

9

Scholarly Papers (17)

1.

American Options Under Stochastic Volatility

McCombs Research Paper Series No. IROM-10-08
Number of pages: 30 Posted: 07 Dec 2007 Last Revised: 03 Oct 2012
Arun Chockalingam, Kumar Muthuraman and Kumar Muthuraman
Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 755 (60,735)

Abstract:

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American option, stochastic volatility, free boundary

2.

A Moving Boundary Approach to American Option Pricing

McCombs Research Paper Series No. IROM-06-08
Number of pages: 24 Posted: 22 Jun 2006 Last Revised: 23 Nov 2008
Kumar Muthuraman and Kumar Muthuraman
Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 715 (65,255)
Citation 2

Abstract:

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American Option Pricing, stochastic control, Hamilton-Jacobi-Bellman equation, free boundary

3.

Multi-Dimensional Portfolio Optimization with Proportional Transaction Costs

Number of pages: 32 Posted: 13 Jul 2004
Kumar Muthuraman, Kumar Muthuraman and Sunil Kumar
Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business and Independent
Downloads 593 (82,579)
Citation 6

Abstract:

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Portfolio optimization, transaction costs, stochastic control, Hamilton-Jacobi-Bellman equation, free boundary problem

4.

Simulation Based Portfolio Optimization for Large Portfolios with Transaction Costs

Number of pages: 31 Posted: 05 Dec 2005
Kumar Muthuraman, Kumar Muthuraman and Haining Zha
Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business and Purdue University - School of Industrial Engineering
Downloads 533 (94,459)

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Portfolio optimization, simulation, transaction costs, stochastic control, Hamilton-Jacobi-Bellman equation, free boundary problem

5.

Unified Classical and Robust Optimization for Least Squares

Number of pages: 47 Posted: 05 Jun 2018 Last Revised: 06 Apr 2022
Long Zhao, Deepayan Chakrabarti, Kumar Muthuraman and Kumar Muthuraman
NUS Business School - Department of Analytics and Operations, University of Texas at Austin - Department of Information, Risk and Operations Management and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 403 (131,736)

Abstract:

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robust optimization, estimation error

6.

Inventory Management with Stochastic Lead Times

Number of pages: 34 Posted: 11 Dec 2013
Kumar Muthuraman, Kumar Muthuraman, Sridhar Seshadri and Qi Wu
Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business, University of Illinois at Urbana Champaign and Case Western Reserve University, Weatherhead School of Management
Downloads 374 (143,241)
Citation 1

Abstract:

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Inventory control, lead times, stochastic lead times, free boundary

7.

Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio

Number of pages: 35 Posted: 17 Jul 2017 Last Revised: 23 Oct 2018
Long Zhao, Deepayan Chakrabarti, Kumar Muthuraman and Kumar Muthuraman
NUS Business School - Department of Analytics and Operations, University of Texas at Austin - Department of Information, Risk and Operations Management and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 369 (145,395)
Citation 1

Abstract:

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portfolio choice, estimation error

8.

Regulation of Natural Gas Distribution Using Policy Benchmarks

Number of pages: 32 Posted: 06 Dec 2005 Last Revised: 12 Apr 2015
Kumar Muthuraman, Kumar Muthuraman, Tarik Aouam and Ronald Rardin
Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business, Purdue University - College of Industrial Engineering and Purdue University - College of Industrial Engineering
Downloads 359 (149,880)

Abstract:

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Natural Gas, Regulation, Benchmarks, Linear incentive contracts, Policy Benchmarks

9.

The Impact of Demand Correlation on Replenishment Policies for Multi-Product Stochastic Inventory Systems with Joint-Replenishment Costs

McCombs Research Paper Series No. IROM-08-08
Number of pages: 30 Posted: 05 Jun 2007 Last Revised: 23 Nov 2008
Haolin Feng, Kumar Muthuraman, Kumar Muthuraman and Vinayak Deshpande
Lingnan (University) College, Sun Yat-sen University, Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business and Purdue University - Krannert School of Management
Downloads 331 (163,633)

Abstract:

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10.

A Computational Method for Stochastic Impulse Control Problems

McCombs Research Paper Series No. IROM-04-10
Number of pages: 32 Posted: 26 Sep 2010 Last Revised: 02 Oct 2010
Haolin Feng, Kumar Muthuraman and Kumar Muthuraman
Lingnan (University) College, Sun Yat-sen University and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 298 (183,560)
Citation 1

Abstract:

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Impulse Control, Free boundary problems

11.

An Approximate Moving Boundary Method for American Options

McCombs Research Paper Series No. IROM-02-10
Number of pages: 16 Posted: 24 Jan 2010 Last Revised: 27 May 2010
Arun Chockalingam, Kumar Muthuraman and Kumar Muthuraman
Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 255 (214,380)
Citation 1

Abstract:

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American option pricing, free boundary, Moving Boundary method, approximate boundaries

12.

Impulse Control of Interest Rates

Number of pages: 45 Posted: 06 Feb 2013 Last Revised: 01 Oct 2013
Daniel Mitchell, Haolin Feng, Kumar Muthuraman and Kumar Muthuraman
University of Texas at Austin - Red McCombs School of Business, Lingnan (University) College, Sun Yat-sen University and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 238 (229,430)
Citation 5

Abstract:

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13.

Hedge Fund Compensation: Incentive Fees and Performance Intervals

Number of pages: 31 Posted: 30 Jan 2019
Daniel Mitchell, Kumar Muthuraman, Kumar Muthuraman and Sheridan Titman
University of Minnesota - Twin Cities - Department of Industrial and Systems Engineering, Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business and University of Texas at Austin - Department of Finance
Downloads 235 (232,280)
Citation 2

Abstract:

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14.

Boundary Evolution Equations for American Options

McCombs Research Paper Series No. IROM-02-12
Number of pages: 37 Posted: 02 Dec 2011 Last Revised: 12 Jan 2012
Daniel Mitchell, Jonathan Goodman, Kumar Muthuraman and Kumar Muthuraman
University of Texas at Austin - Red McCombs School of Business, New York University (NYU) - Courant Institute of Mathematical Sciences and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 197 (273,649)

Abstract:

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Optimal Stopping, American Options, Stochastic Volatility, Early Exercise Boundary, Free-Boundary Problem, Dynamic Grid

15.

Why So Many Scooters? A Policy Analysis

Number of pages: 41 Posted: 17 May 2022 Last Revised: 09 Jun 2023
Hale Erkan, Ioannis Stamatopoulos, Ashish Agarwal, Kumar Muthuraman and Kumar Muthuraman
University of Texas at Austin - Red McCombs School of Business, The University of Texas at Austin - McCombs School of Business, University of Texas at Austin - Red McCombs School of Business and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 97 (479,984)

Abstract:

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e-scooters, competition, over-supply, consumer choice behavior

16.

Facility Location with Joint Disruptions

Indian School of Business
Number of pages: 50 Posted: 31 Jan 2020
Vishwakant Malladi, Kumar Muthuraman and Kumar Muthuraman
Indian School of Business (ISB), Hyderabad and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business
Downloads 94 (489,913)

Abstract:

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Facility Location, Disruption Modeling, Stochastic Processes

17.

Modeling and Forecasting Mortality Rates

Insurance: Mathematics and Economics, Vol. 52, No. 2, 2013
Posted: 02 Dec 2011 Last Revised: 08 Aug 2013
Daniel Mitchell, Patrick L. Brockett, Rafael Mendoza-Arriaga, Kumar Muthuraman and Kumar Muthuraman
University of Texas at Austin - Red McCombs School of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Department of Information, Risk and Operations Management and Information, Risk and Operations ManagementUniversity of Texas at Austin - Red McCombs School of Business

Abstract:

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Mortality Rates, Statistics, Time Series, Mortality Forecasting