Oleksandr Romanko
Oleksandr Romanko
Head of Financial Risk Quantitative Research, SS&C Algorithmics
Verified email at romanko.ca - Homepage
Cited by
Cited by
Normalization and other topics in multi-objective optimization
O Grodzevich, O Romanko
Fields-MITACS Industrial Problems Workshop, 89-101, 2006
New features and improvements in the SeDuMi package
I Pólik, O Romanko, Y Zinchenko, T Terlaky
MATLAB toolbox, 2005
Sensitivity analysis in convex quadratic optimization: simultaneous perturbation of the objective and right-hand-side vectors
A Ghaffari Hadigheh, O Romanko, T Terlaky
Algorithmic Operations Research 2 (2), 94-111, 2007
Portfolio credit-risk optimization
I Iscoe, A Kreinin, H Mausser, O Romanko
Journal of Banking and Finance 36 (6), 1604-1615, 2012
Multi-objective optimization via parametric optimization: models, algorithms and applications
O Romanko, A Ghaffari-Hadigheh, T Terlaky
Springer Proceedings in Mathematics & Statistics 21, 77-119, 2012
Bi-parametric convex quadratic optimization
A Ghaffari-Hadigheh, O Romanko, T Terlaky
Optimization Methods & Software 25 (2), 229-245, 2010
Discussions on normalization and other topics in multi-objective optimization
Y Ding, S Gregov, O Grodzevich, I Halevy, Z Kavazovic, O Romanko, ...
Proceedings to the Fields-MITACS Industrial Problem Solving Workshop, Toronto, 2006
Computing equal risk contribution portfolios
H Mausser, O Romanko
IBM Journal of Research and Development 58 (4), 5:1-5:12, 2014
Robust scenario-based Value-at-Risk optimization
O Romanko, H Mausser
Annals of Operations Research 237 (1), 203-218, 2016
Using trading costs to construct better replicating portfolios
C Burmeister, H Mausser, O Romanko
2010 Enterprise Risk Management Symposium Monograph, 2010
An interior point approach to quadratic and parametric quadratic optimization
O Romanko
McMaster University, 2004
Long-only equal risk contribution portfolios for CVaR under discrete distributions
H Mausser, O Romanko
Quantitative Finance, 2018
Multiobjective and parametric optimization with applications in finance
O Romanko
McMaster University, 2010
CVaR proxies for minimizing scenario-based Value-at-Risk
H Mausser, O Romanko
Journal of Industrial and Management Optimization 10 (4), 1109-1127, 2014
Bias, exploitation and proxies in scenario-based risk minimization
H Mausser, O Romanko
Optimization 61 (10), 1191-1219, 2012
Applications of conic linear optimization in financial engineering
O Romanko, H Mausser
Advances and Trends in Optimization with Engineering Applications, 2017
Optimization in finance
O Romanko
AdvOL Student Seminar Series, 2005
Cognitive user interface for portfolio optimization
Y He, O Romanko, A Sienkiewicz, R Seidman, R Kwon
Journal of Risk and Financial Management 14 (4), 2021
Workshop on financial risk analytics
O Romanko, A Kreinin
Proceedings of the 26th Annual International Conference on Computer Science …, 2016
Numerical Scaling Method for Mathematical Programs with Quadratic Objectives and/or Quadratic Constraints
IJ Lustig, H Mausser, O Romanko, IBM Corporation
US Patent 20,150,242,360, 2015
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