| A branch-and-cut method for 0-1 mixed convex programming RA Stubbs, S Mehrotra Mathematical programming 86 (3), 515-532, 1999 | 413 | 1999 |
| Incorporating estimation errors into portfolio selection: Robust portfolio construction S Ceria, RA Stubbs Journal of Asset Management 7 (2), 109-127, 2006 | 242 | 2006 |
| Factor alignment problems and quantitative portfolio management S Ceria, A Saxena, RA Stubbs Journal of Portfolio Management 38 (2), 29-43, 2012 | 40 | 2012 |
| Generating convex polynomial inequalities for mixed 0–1 programs RA Stubbs, S Mehrotra Journal of Global Optimization 24 (3), 311-332, 2002 | 37 | 2002 |
| Identifying and compensating for model mis-specification in factor risk models RA Stubbs, SH Schmieta US Patent 7,698,202, 2010 | 27 | 2010 |
| Multiportfolio optimization: A natural next step MWP Savelsbergh, RA Stubbs, D Vandenbussche Handbook of Portfolio Construction, 565-581, 2010 | 27* | 2010 |
| The Alpha Alignment Factor: A Solution to the Underestimation of Risk for Optimized Active Portfolios A Saxena, RA Stubbs The Journal of Risk 15 (3), 3-37, 2013 | 25 | 2013 |
| An empirical case study of factor alignment problems using the USER model A Saxena, RA Stubbs The Journal of Investing 21 (1), 25-43, 2012 | 24 | 2012 |
| Computing return estimation error matrices for robust optimization RA Stubbs, P Vance Axioma Research Papers 1, 1-9, 2005 | 23 | 2005 |
| Augmented Risk Models to Mitigate Factor Alignment Problems S Anureet, RA Stubbs Journal of Investment Management 13 (3), 57-79, 2015 | 21* | 2015 |
| Constraint attribution RA Stubbs, D Vandenbussche Journal of Portfolio Management 36 (4), 48-59, 2010 | 18 | 2010 |
| Adjusted Factor-Based Performance Attribution RA Stubbs, V Jeet The Journal of Portfolio Management 42 (5), 67-78, 2016 | 14 | 2016 |
| Identifying and compensating for model mis-specification in factor risk models RA Stubbs, SH Schmieta US Patent 8,315,936, 2012 | 14 | 2012 |
| Branch-and-cut methods for mixed 0-1 convex programming RA Stubbs PhD thesis, Northwestern University, 1996 | 14 | 1996 |
| Improving the investment process with a custom risk model: a case study with the GLER model K Sivaramakrishnan, RA Stubbs The Journal of Investing 22 (4), 129-147, 2013 | 13 | 2013 |
| Constraints in quantitative strategies: An alignment perspective A Saxena, C Martin, RA Stubbs Journal of Asset Management 14 (5), 278-292, 2013 | 12* | 2013 |
| Axioma alpha factor method: Improving risk estimation by reducing risk model portfolio selection bias AA Renshaw, RA Stubbs, S Schmieta, S Ceria Technical report, 2006 | 10 | 2006 |
| Predictor-corrector methods for a class of linear complementarity problems S Mehrotra, RA Stubbs SIAM Journal on Optimization 4 (2), 441-453, 1994 | 10 | 1994 |
| Computing return estimation error matrices for robust optimization. Axioma RA Stubbs, P Vance Inc., New York, 2005 | 5 | 2005 |
| Alpha construction in a consistent investment process S Ceria, K Sivaramakrishnan, RA Stubbs Portfolio Construction, Measurement, and Efficiency: Essays in Honor of Jack …, 2017 | 4 | 2017 |
Sanjay MehrotraProfessor of Industrial Engineering, Northwestern UniversityVerified email at northwestern.edu
