Operation Research

Optimization-based tail risk hedging of the S&P 500 index
In this paper, we present a mixed risk-return optimization framework for selecting long put option positions for hedging the tail risk of investments in the S&P 500 index.
Yuehuan He, Roy Kwon
DOI
Optimization-based Tail Risk Hedging
This thesis presents a mixed risk-return optimization framework for selecting long put option positions to hedge the tail risk of financial portfolios.
Yuehuan He
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Decision support system for the irregular flight recovery problem
In this paper, we describe a data-driven approach to the irregular flight recovery problem.
Shan Pei, Yuehuan He, Zheng Fan, Boyu Zhang
DOI