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

12

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CITATIONS
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Top 29,869

in Total Papers Citations

13

Scholarly Papers (12)

1.

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 946 (23,113)
Citation 1

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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 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 340 (86,790)
Citation 18

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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 269 (111,877)

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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 165 (178,233)
Citation 6

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inequality, networks, coalitional deviations, power, centrality

5.

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 150 (193,153)
Citation 1

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

6.

Online Assortment Optimization with Reusable Resources

Number of pages: 20 Posted: 07 Mar 2019
Massachusetts Institute of Technology (MIT), Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Massachusetts Institute of Technology (MIT) - School of Engineering, Columbia University and Columbia University
Downloads 95 (272,639)

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Online Algorithms, Assortment Optimization, Resource Allocation, Competitive Ratio

7.

Distributionally Robust Mechanism Design

Number of pages: 55 Posted: 21 Apr 2017 Last Revised: 22 Jul 2018
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 92 (280,313)

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

8.

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 92 (276,471)
Citation 1

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

9.

Multiregional Oligopoly with Capacity Constraints

Number of pages: 39 Posted: 03 Dec 2018 Last Revised: 23 Jan 2019
Columbia University, University of California, Los Angeles (UCLA) - Department of Economics, Columbia University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University
Downloads 36 (435,264)

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Cournot competition, oligopoly, networks, capacity constraints, non-cooperative games, consumer welfare

10.

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 27 (476,385)
Citation 1
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11.

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 25 (487,117)

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Automated Demand Response, Dynamic programming, Bayes procedures

12.

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

Office of Financial Research Working Paper No. 15-01, https://doi.org/10.3905/joi.2015.24.2.147
Posted: 21 May 2019
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 0 (661,885)

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