I am an associate 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 optimization, stochastic optimization and dynamic programming).
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)
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), 2011.
"Disappointment risk for mean-variance portfolio optimizers." 2008.
