Diana Roman

Brunel University London - School of Information Systems, Computing and Mathematics

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

875

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures

Number of pages: 36 Posted: 12 Mar 2008
Ritesh Kumar, Gautam Mitra and Diana Roman
Indian Institute of Management (IIM), Calcutta, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - School of Information Systems, Computing and Mathematics
Downloads 469 (64,971)
Citation 2

Abstract:

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investment, portfolio, risk, short-selling

2.

Mixture Distribution Scenarios for Investment Decisions with Downside Risk

Number of pages: 31 Posted: 29 Aug 2008 Last Revised: 16 Jul 2009
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, HSBC Global Asset Management, Brunel University London - School of Information Systems, Computing and Mathematics, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 282 (116,175)
Citation 1

Abstract:

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Scenario generation, downside risk, investment choice

3.

Enhanced Indexation Based on Second-Order Stochastic Dominance

Number of pages: 19 Posted: 07 Mar 2011
Diana Roman, Gautam Mitra and Victor Zviarovich
Brunel University London - School of Information Systems, Computing and Mathematics, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London
Downloads 124 (243,838)
Citation 7

Abstract:

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index tracking, enhanced indexation, stochastic dominance, backtesting