Diana Roman

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

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 46,852

SSRN RANKINGS

Top 46,852

in Total Papers Downloads

851

CITATIONS
Rank 31,523

SSRN RANKINGS

Top 31,523

in Total Papers Citations

12

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 453 (61,769)
Citation 1

Abstract:

Loading...

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 278 (107,943)
Citation 1

Abstract:

Loading...

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 120 (230,030)
Citation 10

Abstract:

Loading...

index tracking, enhanced indexation, stochastic dominance, backtesting