Miguel Lejeune

George Washington University

Professor

Washington, DC 20052

United States

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 22,701

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Top 22,701

in Total Papers Downloads

2,798

SSRN CITATIONS

8

CROSSREF CITATIONS

5

Scholarly Papers (14)

An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints

Number of pages: 31 Posted: 28 Mar 2007
Pierre Bonami and Miguel Lejeune
IBM Corporation - Thomas J. Watson Research Center and George Washington University
Downloads 471 (76,189)
Citation 5

Abstract:

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Market Risk, Portfolio Optimization, Stochastic Programming, Markowitz, Trading Constraints, Idiosyncratic risk, Integer Programming

An Exact Solution Approach for Portfolio Optimization Problems under Stochastic and Integer Constraints

Operations Research. Forthcoming
Posted: 14 Aug 2008
Pierre Bonami and Miguel Lejeune
IBM Corporation - Thomas J. Watson Research Center and George Washington University

Abstract:

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Market Risk, Portfolio Optimization, Stochastic Programming, Markowitz, Trading Constraints, Idiosyncratic risk, Integer Programming

2.

Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution

Georgetown McDonough School of Business Research Paper No. 2888961 Forthcoming at Management Science
Number of pages: 42 Posted: 22 Dec 2016 Last Revised: 12 Apr 2019
So Yeon Chun, So Yeon Chun and Miguel Lejeune
Georgetown University - Robert Emmett McDonough School of BusinessINSEAD and George Washington University
Downloads 382 (98,325)

Abstract:

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pricing, revenue management, credit risk, marginal risk, Value-at-Risk, Conditional Value-at-Risk, willingness-to-pay, mixed-integer nonlinear stochastic programming

3.

Reverse-Engineering Country Risk Ratings: Combinatorial Non-Recursive Model

Number of pages: 30 Posted: 28 Mar 2007 Last Revised: 11 Nov 2008
Peter L. Hammer, Alexander Kogan and Miguel Lejeune
Rutgers, The State University of New Jersey, Rutgers, The State University of New Jersey and George Washington University
Downloads 333 (114,646)
Citation 2

Abstract:

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credit risk rating, country risk, combinatorial optimization, logical analysis of data

4.

A Logical Analysis of Banks’ Financial Strength Ratings

Number of pages: 34 Posted: 31 Aug 2010 Last Revised: 05 Sep 2016
Peter L. Hammer, Alexander Kogan and Miguel Lejeune
Rutgers, The State University of New Jersey, Rutgers, The State University of New Jersey and George Washington University
Downloads 319 (120,136)
Citation 1

Abstract:

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credit risk rating, bank creditworthiness, Logical Analysis of Data, combinatorial pattern extraction

5.

Data-Driven Optimization of Reward-Risk Ratio Measures

Number of pages: 36 Posted: 23 Dec 2015 Last Revised: 23 Feb 2020
Ran Ji and Miguel Lejeune
George Mason University and George Washington University
Downloads 289 (133,443)
Citation 4

Abstract:

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Data-Driven Optimization, Distributionally Robust Optimization, Reward-Risk Ratio, Risk-Adjusted Return Financial Measure, Wasserstein Metric, Ambiguous Expectation Constraint

6.

Planning Online Advertising Using Gini Indices

Number of pages: 81 Posted: 13 Dec 2015 Last Revised: 26 Oct 2018
Miguel Lejeune and John Turner
George Washington University and University of California, Irvine - Paul Merage School of Business
Downloads 263 (146,989)
Citation 3

Abstract:

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Online Advertising, Gini Index, Lorenz Curve, Decomposition Method

7.

Data-Driven Distributionally Robust Chance-Constrained Optimization With Wasserstein Metric

Number of pages: 36 Posted: 14 Jul 2018 Last Revised: 23 Feb 2020
Ran Ji and Miguel Lejeune
George Mason University and George Washington University
Downloads 194 (196,313)
Citation 4

Abstract:

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Distributionally Robust Optimization, Chance-Constrained Programming, Wasserstein Metric

8.

Construction of Risk-Averse Enhanced Index Funds

Number of pages: 33 Posted: 25 Oct 2010 Last Revised: 24 Sep 2012
Miguel Lejeune and Gulay Samatli-Pac
George Washington University and Drexel University
Downloads 158 (234,546)

Abstract:

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Index Fund, Portfolio Optimization, Risk-Averse, Stochastic Programming, Trading Constraint

9.

Regularized Decomposition Methods for Deterministic and Stochastic Convex Optimization and Application to Portfolio Selection with Direct Transaction and Market Impact Costs

Number of pages: 30 Posted: 17 Jan 2017 Last Revised: 19 Apr 2017
Vincent Guigues, Miguel Lejeune and Wajdi Tekaya
Fundação Getulio Vargas, George Washington University and Quant-Dev
Downloads 150 (244,788)
Citation 2

Abstract:

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Stochastic Optimization, Stochastic Dual Dynamic Programming, Regularization, Portfolio Selection, Market Impact Costs

10.

Distributionally Robust Portfolio Optimization with Linearized STARR Performance Measure

Number of pages: 28 Posted: 18 Mar 2020 Last Revised: 24 Sep 2021
Ran Ji, Miguel Lejeune and Zhengyang Fan
George Mason University, George Washington University and George Mason University
Downloads 102 (325,190)

Abstract:

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Distributionally Robust Optimization, STARR Performance Measure, Wasserstein Metric, Conditional Value-at-Risk

11.

Aeromedical Battlefield Evacuation Under Endogenous Uncertainty in Casualty Delivery Times

Management Science, Forthcoming, DOI: full/10.1287/mnsc.2017.2894
Number of pages: 31 Posted: 27 Nov 2016 Last Revised: 28 Jun 2018
Miguel Lejeune and Francois Margot
George Washington University and Carnegie Mellon University - David A. Tepper School of Business
Downloads 70 (407,771)

Abstract:

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MEDEVAC, Military Trauma Care, Endogenous Uncertainty, Mixed-Integer Nonlinear Programming, Spatial Branch-and-Bound Algorithm, Relaxation and Restriction Problems

12.

Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems

Number of pages: 33 Posted: 23 Aug 2010 Last Revised: 25 Sep 2012
Miguel Lejeune
George Washington University
Downloads 67 (417,364)
Citation 2

Abstract:

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Programming, stochastic, Probability, Combinatorial Pattern, Probabilistic Constraint, Boolean Programming

13.

Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix

Posted: 14 Sep 2013 Last Revised: 23 Jan 2015
Alexander Kogan and Miguel Lejeune
Rutgers, The State University of New Jersey and George Washington University

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Stochastic Programming, Boolean Function, Joint Probabilistic Constraint, Random Technology Matrix, Minorant, Threshold Function

14.

Modeling Country Risk Ratings Using Partial Orders

European Journal of Operational Research, Vol. 175, No. 2, pp. 836-859, 2006
Posted: 28 Mar 2007
Peter L. Hammer, Alexander Kogan and Miguel Lejeune
Rutgers, The State University of New Jersey, Rutgers, The State University of New Jersey and George Washington University

Abstract:

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Credit Risk, Country Risk, Relative Creditworthiness, Data Mining, Rating, Preorder, Logical Analysis of Data