David B. Brown
I am an assistant professor in the
Decision Sciences group at The Fuqua School of Business at Duke University. My research interests primarily center on optimization under uncertainty (robust and stochastic optimization, risk theory, ambiguity, dynamic optimization, statistical learning) and applications in finance.
Curriculum Vitae
Vita
Publications
Brown, D.B., J. Smith and P. Sun (2009). "Information relaxations and duality in stochastic dynamic programs." Operations Research, to appear. (.pdf)
Brown, D.B. and M. Sim (2009). "Satisficing measures for analysis of risky positions." Management Science, 55(1), pp. 71-84. (.pdf)
Bertsimas, D. and D.B. Brown (2009). "Constructing uncertainty sets for robust linear optimization."
Operations Research, to appear. (.pdf)
Brown, D.B. (2007). "Large deviations bounds for estimating conditional
value-at-risk." Operations Research Letters, 35(6), pp. 722-730. (.pdf)
Bertsimas, D. and D.B. Brown (2007). "Constrained Stochastic LQC: A Tractable Approach."
IEEE Trans. Aut. Control, 52(10), pp. 1826-1841. (.pdf)
Working papers
"A satisficing alternative to prospect theory." (With E. De Giorgi and M. Sim), 2009. (.pdf)
"On the Scholes liquidation problem." (With B. Carlin and M. Lobo), 2009. (.pdf)
"A soft robust model for optimization under ambiguity."
(With A. Ben-Tal and D. Bertsimas), 2009. (.pdf)
"Disappointment risk for mean-variance portfolio optimizers." 2008.
"Theory and applications of robust optimization." (With D. Bertsimas and C. Caramanis), 2008.
Last updated September 21, 2009.
