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David B. Brown

Associate Professor of Decision Sciences
Ph.D. Massachusetts Institute of Technology, 2006

Vita

 

 

Publications

  • Brown, D.B., J. Smith. 2013. Information Relaxations, Duality, and Convex Stochastic Dynamic Programs. Working paper. (.pdf)

  • Brown, D.B., J. Smith. 2013. Optimal sequential exploration: bandits, clairvoyants, and wildcats. Operations Research 61(3) 644-665. (.pdf). Online appendix: (.pdf)

  • Brown, D.B., E. De Giorgi, M. Sim. 2012. Aspirational preferences and their representation by risk measures. Management Science 58(11) 2095-2113. (.pdf). Online appendix: (.pdf)

  • Brown, D.B., J. Smith. 2011. Dynamic portfolio optimization with transaction costs: heuristics and dual bounds. Management Science 57(10) 1752-1770. (.pdf). Online appendix: (.pdf)

  • Brown, D.B., B. Carlin, M.S. Lobo. 2010. Optimal portfolio liquidation with distress risk. Management Science 56(11) 1997-2014. (.pdf)

  • Ben-Tal, A., D. Bertsimas, D.B. Brown. 2010. A soft robust model for optimization under ambiguity. Operations Research 58(4) 1220-1234. (.pdf). Online appendix: (.pdf)

  • Brown, D.B., J. Smith, P. Sun. 2010. Information relaxations and duality in stochastic dynamic programs. Operations Research, 58(4) 785-801. (.pdf). Online appendix: (.pdf)

  • Bertsimas, D., D.B. Brown, C. Caramanis. 2011. Theory and applications of robust optimization. SIAM Review 53(3) 464-501. (.pdf)

  • Bertsimas, D., D.B. Brown. 2009. Constructing uncertainty sets for robust linear optimization. Operations Research 57(6) 1483-1495. (.pdf)

  • Brown, D.B., M. Sim. 2009. Satisficing measures for analysis of risky positions. Management Science 55(1) 71-84. (.pdf)

  • Brown, D.B. 2007. Large deviations bounds for estimating conditional value-at-risk. Operations Research Letters 35(6) 722-730. (.pdf)

  • Bertsimas, D., D.B. Brown. 2007. Constrained stochastic LQC: a tractable approach. IEEE Trans. Aut. Control 52(10) 1826-1841. (.pdf)


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