OLEKSANDR ROMANKO

E-mail: romanko@romanko.ca

Web: http://www.romanko.ca

AREAS OF INTEREST

Optimization, operations research, data mining, mathematical modeling, optimization in finance, portfolio and risk management, algorithms, software development, high-performance computing

HIGHLIGHTS OF QUALIFICATIONS

EDUCATION

Ph.D. in Computer Science

2004 – 2010

Advanced Optimization Laboratory, Department of Computing and Software,

McMaster University, Hamilton, ON, Canada

Ph.D. Project: Multiobjective and Parametric Optimization with Applications in Finance

Supervisors: Tamás Terlaky (Lehigh University) and Antoine Deza (McMaster University)


Master of Science in Computer Science

2002 – 2004

Advanced Optimization Laboratory, Department of Computing and Software,

McMaster University, Hamilton, ON, Canada

M.Sc. Thesis: Quadratic and Parametric Quadratic Optimization

Supervisor: Tamás Terlaky, Canada Research Chair in Optimization


Master of Arts in Economics

2000 – 2002

Center for Economic Research and Graduate Education (CERGE) / University of

the State of New York graduate program, Charles University, Prague, Czech Republic


Bachelor of Science in Systems Engineering, with distinction

1993 – 1998

Sumy State University, Sumy, Ukraine

B.Sc. Thesis: Microprocessor Control System of the Electronic Microscope PEM-125K

WORK EXPERIENCE

Research Analyst

2012 – present

Risk Analytics, Business Analytics, IBM, Toronto, ON, Canada


MITACS Industrial Postdoctoral Research Fellow

2010 – 2012

­McMaster University, Hamilton, ON, Canada

Algorithmics Inc., an IBM Company, Toronto, ON, Canada


Intern, Quantitative Research Group

2008 – 2009

­Algorithmics Inc., Toronto, ON, Canada


CTO, Project Manager

(part-time) 2005 – 2011

Creatif Solutions, Hamilton, ON, Canada


Senior Computer Systems Analyst

(part-time) 2004 – 2010

Tetraplex Limited, Hamilton, ON, Canada


Research Assistant

2003 – 2008

Advanced Optimization Laboratory, McMaster University, Hamilton, ON, Canada


Teaching Assistant

2002 – 2009

Department of Computing and Software, McMaster University, Hamilton, ON, Canada


Research Assistant

2001 – 2002

Center for Economic Research and Graduate Education, Prague, Czech Republic


System Administrator, Programmer

1998 – 2000

Industrial Company “Kvalitet”, Sumy, Ukraine

PUBLICATIONS

  1. Mausser, H., and Romanko, O. (2012) Bias, Exploitation and Proxies in Scenario-Based Risk Minimization. Optimization (special issue on Optimizing Risk), Volume 61 (in press).

  2. Mausser, H., and Romanko, O. (2012) CVaR Proxies for Optimizing Scenario-Based Value-at-Risk. Report ARPS 12-04, Algorithmics Inc., an IBM Company, Toronto

  3. Romanko, O., Ghaffari-Hadigheh, A., and Terlaky, T. (2012) Multiobjective Optimization via Parametric Optimization: Models, Algorithms and Applications. Chapter 5 in Springer Proceedings in Mathematics and Statistics, Volume 21, pp. 77-119.

  4. Iscoe, I., Kreinin, A., Mausser, H., and Romanko, O. (2012) Portfolio Credit Risk Optimization. Journal of Banking and Finance., Volume 36, Number 6 (2012), pp. 1604-1615.

  5. Romanko, O., and Mausser, H. (2011) Robust Scenario-Based Value-at-Risk Optimization. Report ARPS 11-06, Algorithmics Inc., Toronto, submitted to Annals of Operations Research.

  6. Burmeister, C., Mausser, H., and Romanko, O. (2010) Using Trading Costs to Construct Better Replicating Portfolios, Enterprise Risk Management Symposium Monograph, Society of Actuaries, Schaumburg, IL, April 2010.

  7. Romanko, O. (2010) Multiobjective and Parametric Optimization with Applications in Finance, Ph.D. Thesis, defended on March 26, 2010.

  8. Ghaffari-Hadigheh, A., Romanko, O., and Terlaky, T. (2010) Bi-Parametric Convex Quadratic Optimization. Optimization Methods and Software, Volume 25, Issue 2 (2010), pp. 229-245.

  9. Ghaffari-Hadigheh, A., Romanko, O., and Terlaky, T. (2008) On Bi-Parametric Programming in Quadratic Optimization. Proceedings of the “Continuous Optimization and Knowledge-Based Technologies” Conference, Neringa, Lithuania, May 20-23, 2008.

  10. Bose, C., Romanko, O. and Gong J. (2007) Optimization of Multi-Drug Composition for the Most Efficacious Action. Proceedings of 11th PIMS Industrial Problem Solving Workshop (IPSW), Edmonton, AB, June 11-15, 2007.

  11. Ghaffari-Hadigheh, A., Romanko, O., and Terlaky, T. (2007) Sensitivity Analysis in Convex Quadratic Optimization: Simultaneous Perturbation of the Objective and Right-Hand-Side Vectors. Algorithmic Operations Research, Volume 2, Number 2 (2007), pp. 94-111.

  12. Grodzevich, O., Romanko, O. (2006) Discussions on Normalization and Other Topics in Multi-Objective Optimization. Proceedings of Fields-MITACS Industrial Problem-Solving Workshop (FMIPW), August 14-18, 2006, pp. 89-102.

  13. Romanko, O. (2004) An Interior Point Approach to Quadratic and Parametric Quadratic Optimization, M.Sc. Thesis, defended on August 19, 2004.

  14. Ghaffari-Hadigheh, A., Romanko, O., and Terlaky, T. (2003) Simultaneous Perturbation Parametric Analysis in Convex Quadratic Optimization. Technical Report #2003/6, Advanced Optimization Laboratory, McMaster University, Hamilton.

AWARDS AND HONOURS

SOFTWARE

COMPUTER SKILLS

System Administration:

MS Windows, Unix/Linux, Mac OS



Programming Languages:

C/C++, Pascal, Fortran, HTML, XML, JavaScript, Perl, PHP, SQL, FoxPro/dBASE



Mathematical and Statistical Software:

Matlab, Maple, Mathematica, Mathcad, Cplex, Mosek, Ipopt, Minos, AMPL, AIMMS, Simul8, R, Stata, E-views, TSP

LEADERSHIP AND ACTIVITIES

MEMBERSHIP

LANGUAGE SKILLS

INTERESTS