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Research interests:
- Operational research
- Optimization in finance, financial modeling
- Portfolio optimization, robust portfolio selection
- High-performance computing, algorithms, software
- Multi-objective and parametric optimization
- Linear, quadratic, second order conic and semidefinite optimization
- Interior point methods for convex conic optimization
Publications:
- Iscoe, I., A., Kreinin, A., Mausser, H., and Romanko, O. (2012) Portfolio Credit-Risk Optimization. Journal of Banking and Finance (in press).
- Mausser, H., and Romanko, O. (2011) Robust Scenario-Based Value-at-Risk Optimization. Submitted to Springer Volume on Computational Risk Management.
- Mausser, H., and Romanko, O. (2011) Bias, Exploitation and Proxies in Scenario-Based Risk Minimization. Submitted to Optimization (special issue on Optimizing Risk).
- Romanko, O., Ghaffari-Hadigheh, A., and Terlaky, T. (2011) Multi-objective Optimization via Parametric Optimization: Models, Algorithms and Applications. To appear in Springer Proceedings in Mathematics.
- 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.
- Romanko, O. (2010) Multiobjective and Parametric Optimization with Applications in Finance, Ph.D. Thesis, defended on March 26, 2010.
- 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.
- Ghaffari-Hadigheh, A., Romanko, O., and Terlaky, T. (2008) On Bi-Parametric Programming in Quadratic Optimization. Proceedings of 20th EURO Mini Conference "Continuous Optimization and Knowledge-Based Technologies" (EurOPT-2008), May 20-23, 2008, pp. 229-234.
- Bose, C., and Romanko, O. (2008) Optimization of Multi-Drug Composition for the Most Efficacious Action. To appear in the proceedings of 11th PIMS Industrial Problem Solving Workshop (IPSW), June 11-15, 2007.
- 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.
- Grodzevich, O., and 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. 89-101.
- Romanko, O. (2004) An Interior Point Approach to Quadratic and Parametric Quadratic Optimization, M.Sc. Thesis, defended on August 19, 2004.
- 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.
Recent Presentations:
- Seminar "Scenario-Based Value-at-Risk Optimization" at the Industrial Optimization Seminar, Fields Institute, Toronto, Canada, February 7, 2012.
- Poster presentation "Multiobjective Robust Optimization in Finance and Risk Management" at INFORMS Annual Conference 2011, Charlotte, NC, USA, November 13-16, 2011.
- Presentation "Multiobjective and Robust Optimization in Finance and Risk Management" at the Industrial-Academic Workshop on Optimization in Finance and Risk Management, Fields Institute, Toronto, Canada, October 3-4, 2011.
- Presentation "Multiobjective Optimization in Finance and Risk Management" at the 21st International Conference on Multiple Criteria Decision Making, Jyvaskyla, Finland, June 13-17, 2011.
- Presentation "Solving Multiobjective Optimization Problems in Finance and Risk Management" at CORS 2011 Annual Conference, St. John's, NL, May 30 - June 1, 2011.
- Presentation "Constructing Sparse Replicating Portfolios for Insurance Liabilities by Regularized Optimization" at University of Toronto Operations Research Group seminar, Toronto, ON, November 24, 2010.
- Presentation "Constructing Sparse Replicating Portfolios by Weighted Regularized Optimization" at 14 International Congress on Insurance: Mathematics and Economics, Toronto, ON, June 17-19, 2010.
- Presentation "Bi-Parametric Convex Quadratic Optimization" at INFORMS Annual Meeting 2009, San Diego, CA, USA, October 2009.
- Presentation "Multiobjective Optimization via Parametric Programming: Algorithms and Financial Applications" at CORS-INFORMS International Meeting 2009, Toronto, ON, June 14-17, 2009.
- Poster presentation "Credit Risk Portfolio Optimization" at MITACS Annual Conference 2009, Fredericton, NB, June 1-5, 2009.
- Presentation "Credit Risk Optimization" at the Dept. of Industrial and Systems Engineering, Lehigh University, Bethlehem, PA, November 14, 2008.
- Presentation "Multi-objective Optimization Via Parametric Programming: Models, Algorithms and Challenges" at INFORMS Annual Meeting 2008, Washington, DC, October 12-15, 2008.
- Presentation "Multi-objective and Parametric Optimization in Financial Modelling" at International Conference on Continuous Optimization (ICCOPT II), Hamilton, ON, August 13-16, 2007.
- Presentation "Parametric Analysis in Conic Linear Optimization" at European Conference on Operational Research (EURO XXII), Prague, Czech Republic, July 8-11, 2007.
- Presentation "Multi-Objective Optimization via Parametric Analysis: Optimal Partition Based Approach", 2nd Conference on Optimization Methods and Software, Prague, Czech Republic, July 4-7, 2007.
- Poster presentation "Multi-Objective and Parametric Optimization: Models, Algorithms and Applications in Finance" at CMS-MITACS Joint Conference 2007, Winnipeg, MB, May 31 - June 3, 2007.
- Presentation "Parametric and Sensitivity Analysis in Conic Linear Optimization: Algorithms and Applications", Canadian Operational Research Society (CORS) National Meeting 2007, London, ON, May 13-16, 2007.
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