Garud Iyengar

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

331 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

SCHOLARLY PAPERS

10

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Top 21,492

in Total Papers Downloads

1,813

CITATIONS

0

Scholarly Papers (10)

1.

A Generalized Risk Budgeting Approach to Portfolio Construction

Number of pages: 28 Posted: 05 Jul 2014 Last Revised: 09 Jan 2016
Martin Haugh, Garud Iyengar and Irene Song
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 347 (25,395)

Abstract:

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

2.

Tax-Aware Dynamic Asset Allocation

Number of pages: 30 Posted: 06 Jan 2014 Last Revised: 09 Jan 2016
Martin Haugh, Garud Iyengar and Chun Wang
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 227 (76,583)

Abstract:

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

3.

Portfolio Selection with Multiple Spectral Risk Constraints

Advanced Risk & Portfolio Management Paper
Number of pages: 20 Posted: 15 Nov 2012 Last Revised: 25 Mar 2015
Carlos Abad and Garud Iyengar
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 225 (99,867)

Abstract:

large scale portfolio optimization, coherent risk measures, first-order algorithms

4.

Inequality and Network Structure

CentER Discussion Paper Series No. 2008-76
Number of pages: 25 Posted: 16 Sep 2008
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Northwestern University, Columbia University, Barnard College - Department of Economics and Santa Fe Institute
Downloads 146 (158,645)

Abstract:

inequality, networks, coalitional deviations, power, centrality

5.

Modeling Multimodal Consumer Heterogeneity in Conjoint Analysis – A Sparse Learning Approach

Number of pages: 56 Posted: 21 Nov 2013
Yupeng Chen, Raghuram Iyengar and Garud Iyengar
University of Pennsylvania - Marketing Department, University of Pennsylvania - Marketing Department and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 45 (262,898)

Abstract:

Sparse Learning, Multimodal Consumer Heterogeneity, Conjoint Analysis, Econometric Models

6.

Universal Investment in Markets with Transaction Costs

Mathematical Finance, Vol. 15, No. 2, pp. 359-371, April 2005
Number of pages: 13 Posted: 23 Mar 2005
Garud Iyengar
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 26 (416,378)
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Abstract:

7.

A Near-Optimal Maintenance Policy for Automated DR Devices

Number of pages: 8 Posted: 22 Oct 2014 Last Revised: 25 Mar 2015
Carlos Abad and Garud Iyengar
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 13 (462,365)

Abstract:

Automated Demand Response, Dynamic programming, Bayes procedures

8.

Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks

Office of Financial Research Working Paper No. 15-01
Number of pages: 30 Posted: 22 Aug 2015
Board of Regents - University of California Office of the CIO, Columbia Business School, Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Department of Chemical Engineering, Purdue University and Columbia University, Department of Chemical Engineering, Students
Downloads 10 (333,303)

Abstract:

9.

Towards a Financial Statement Based Approach to Modeling Systemic Risk in Insurance and Banking

Columbia Business School Research Paper No. 17-77
Number of pages: 70 Posted: 31 Jul 2017
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Department of Chemical Engineering, Columbia Business School, Department of Chemical Engineering and Columbia University, Department of Chemical Engineering, Students
Downloads 0 (245,924)

Abstract:

insurance, banking, SRISK, financial statements, systemic risk, fundamental analysis

10.

Distributionally Robust Mechanism Design

Number of pages: 47 Posted: 21 Apr 2017
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Department of Industrial Engineering and Operations Research (IEOR), École polytechnique fédérale de Lausanne and Imperial College Business School
Downloads 0 (402,930)

Abstract:

auction, mechanism design, distributionally robust optimization, ambiguity aversion, Knightian preferences