Reha H Tutuncu
Reha H Tutuncu
Portfolio Construction Lead, Point72 Asset Management
Verified email at point72.com
Title
Cited by
Cited by
Year
SDPT3—a MATLAB software package for semidefinite programming, version 1.3
KC Toh, MJ Todd, RH Tütüncü
Optimization methods and software 11 (1-4), 545-581, 1999
20461999
Solving semidefinite-quadratic-linear programs using SDPT3
RH Tütüncü, KC Toh, MJ Todd
Mathematical programming 95 (2), 189-217, 2003
12762003
Optimization Methods in Finance.
R Tutuncu, G Cornuejols
Cambridge University Press, 2007
556*2007
Robust asset allocation
RH Tütüncü, M Koenig
Annals of Operations Research 132 (1-4), 157-187, 2004
4452004
On the Nesterov--Todd Direction in Semidefinite Programming
MJ Todd, KC Toh, RH Tütüncü
SIAM Journal on Optimization 8 (3), 769-796, 1998
3941998
60 Years of portfolio optimization: Practical challenges and current trends
PN Kolm, R Tütüncü, FJ Fabozzi
European Journal of Operational Research 234 (2), 356-371, 2014
3622014
On the implementation and usage of SDPT3–a Matlab software package for semidefinite-quadratic-linear programming, version 4.0
KC Toh, MJ Todd, RH Tütüncü
Handbook on semidefinite, conic and polynomial optimization, 715-754, 2012
1782012
SDPT3—a MATLAB software package for semidefinite-quadratic-linear programming
RH Tütüncü, KC Toh, MJ Todd
MathWorks, Natick, 2001
175*2001
A reduced space interior point strategy for optimization of differential algebraic systems
AM Cervantes, A Wächter, RH Tütüncü, LT Biegler
Computers & Chemical Engineering 24 (1), 39-51, 2000
1492000
An interior-point method for a class of saddle-point problems
BV Halldórsson, RH Tütüncü
Journal of Optimization Theory and Applications 116 (3), 559-590, 2003
1382003
Inexact primal-dualpath-following algorithms for a special class of convex quadratic SDPand related problems
KC Toh, RH Tutuncu, MJ Todd
Cornell University Operations Research and Industrial Engineering, 2005
872005
Adjustable robust optimization models for a nonlinear two-period system
A Takeda, S Taguchi, RH Tütüncü
Journal of Optimization Theory and Applications 136 (2), 275-295, 2008
73*2008
Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
AM Monteiro, RH Tütüncü, LN Vicente
European Journal of Operational Research 187 (2), 525-542, 2008
652008
Least-squares approach to risk parity in portfolio selection
X Bai, K Scheinberg, R Tutuncu
Quantitative Finance 16 (3), 357-376, 2016
582016
Robust profit opportunities in risky financial portfolios
MÇ PıNar, RH Tütüncü
Operations Research Letters 33 (4), 331-340, 2005
562005
Reducing horizontal linear complementarity problems
RH Tütüncü, MJ Todd
Linear algebra and its applications 223, 717-729, 1995
391995
On the implementation of SDPT3 (version 3.1)-a MATLAB software package for semidefinite-quadratic-linear programming
KC Toh, RH Tutuncu, MJ Todd
2004 IEEE International Conference on Robotics and Automation (IEEE Cat. No …, 2004
382004
Satisfying convex risk limits by trading
K Larsen, TA Pirvu, SE Shreve, R Tütüncü
Finance and Stochastics 9 (2), 177-195, 2005
282005
Rendezvous search on the labeled line
EJ Chester, RH Tütüncü
Operations Research 52 (2), 330-334, 2004
23*2004
Optimisation and quantitative investment management
A Khodadadi, RH Tütüncü, PJ Zangari
Journal of Asset Management 7 (2), 83-92, 2006
212006
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