- Financial risk management, risk analytics
- Optimization in finance, financial modeling
- Artificial intelligence, cognitive computing, data science, big data
- Portfolio optimization, robust portfolio selection
- Data science, business analytics, operational research
- High-performance and distributed computing, algorithms, software
- Multi-objective and parametric optimization
- Linear, quadratic, second order conic and semidefinite optimization
- Portfolio Optimization service on IBM Cloud for Financial Services
- Construct and rebalance investment portfolios by using the Portfolio Optimization service at IBM Code
Videos of recent research presentations:
- Computing Equal Risk Contribution Portfolios for Variance and CVaR Risk Measures, Workshop on Modern Convex Optimization and Applications, Fields Institute, Toronto, Canada (July 2017)
- Computing Equal Risk Contribution Portfolios, 3rd Industrial-Academic Workshop on Optimization in Finance and Risk Management, Fields Institute, Toronto, Canada (October 2015)
- Value-at-Risk Optimization, 2nd Industrial-Academic Workshop on Optimization in Finance and Risk Management, Fields Institute, Toronto, Canada (September 2013)
- Mausser, H., and Romanko, O. (2017) Long-only Equal Risk Contribution Portfolios for CVaR under Discrete Distributions. Submitted to Quantitative Finance.
- Romanko, O., and Mausser, H. (2017) Applications of Conic Linear Optimization in Financial Engineering. Chapter in Advances and Trends in Optimization with Engineering Applications, T. Terlaky, M. Anjos, and S. Ahmed (Eds.), MOS-SIAM Series, SIAM, Philadelphia, PA.
- Romanko, O., and Mausser, H. (2016) Robust Scenario-Based Value-at-Risk Optimization. Annals of Operations Research, Volume 237, Issue 1, pp. 203-218.
- Lustig I.J., Mausser, H., and Romanko, O., IBM Corp. (2014) Numerical Scaling Method for Mathematical Programs with Quadratic Objectives and/or Quadratic Constraints, US Patent Application 14/189976.
- Mausser, H., and Romanko, O. (2014) Computing Equal Risk Contribution Portfolios. IBM Journal of Research and Development, Volume 58, Issue 4, pp. 5:1-5:12.
- Mausser, H., and Romanko, O. (2014) CVaR Proxies for Optimizing Scenario-Based Value-at-Risk. Journal of Industrial and Management Optimization, Volume 10, Issue 4, pp. 1109-1127.
- Mausser, H., and Romanko, O. (2012) Bias, Exploitation and Proxies in Scenario-Based Risk Minimization. Optimization (special issue on Optimizing Risk), Volume 61, Issue 10, pp. 1191-1219.
- 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.
- Iscoe, I., Kreinin, A., Mausser, H., and Romanko, O. (2012) Portfolio Credit Risk Optimization. Journal of Banking and Finance., Volume 36, Number 6, pp. 1604-1615.
- 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, pp. 229-245.