Brown, D.B., E. De Giorgi, and M. Sim (2012). "Aspirational preferences and their representation by risk measures." Management Science, to appear. (.pdf)
Brown, D.B. and J. Smith (2011). "Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds." Management Science, 57(10), p. 1752-1770. (.pdf). Online appendix: (.pdf)
Brown, D.B., B. Carlin and M.S. Lobo (2010). "Optimal portfolio liquidation with distress risk." Management Science,56(11), p. 1997-2014. (.pdf)
Ben-Tal, A., D. Bertsimas and D.B. Brown (2010). "A soft robust model for optimization under ambiguity." Operations Research, 58(4), p. 1220-1234. (.pdf)
Brown, D.B., J. Smith and P. Sun (2010). "Information relaxations and duality in stochastic dynamic programs." Operations Research, 58(4), p. 785-801. (.pdf). Online appendix: (.pdf)
Bertsimas, D., D.B. Brown and C. Caramanis (2011). "Theory and applications of robust optimization." SIAM Review, 53(3), p. 464-501.
Bertsimas, D. and D.B. Brown (2009). "Constructing uncertainty sets for robust linear optimization."
Operations Research, 57(6), p. 1483-1495. (.pdf)
Brown, D.B. and M. Sim (2009). "Satisficing measures for analysis of risky positions." Management Science, 55(1), p. 71-84. (.pdf)
Brown, D.B. (2007). "Large deviations bounds for estimating conditional
value-at-risk." Operations Research Letters, 35(6), p. 722-730. (.pdf)
Bertsimas, D. and D.B. Brown (2007). "Constrained Stochastic LQC: A Tractable Approach."
IEEE Trans. Aut. Control, 52(10), p. 1826-1841. (.pdf)
Working papers
"Optimal Sequential Exploration: Bandits, Clairvoyants, and Wildcats." (With J. Smith), 2012. (.pdf).
