57 citations · 135 across the 19 of their papers we have counts for
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math.OC2018★ 57 cited
A Scalable Algorithm For Sparse Portfolio Selection
Dimitris Bertsimas, Ryan Cory-Wright
The sparse portfolio selection problem is one of the most famous and frequently-studied problems in the optimization and financial economics literatures. In a universe of risky ass…
math.OC2018★ 9 cited
On stochastic auctions in risk-averse electricity markets with uncertain supply
Ryan Cory-Wright, Golbon Zakeri
This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse a…