285 citations · 797 across the 32 of their papers we have counts for
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math.OC2017★ 24 cited
Incorporating Black-Litterman Views in Portfolio Construction when Stock Returns are a Mixture of Normals
Burak Kocuk, Gérard Cornuéjols
In this paper, we consider the basic problem of portfolio construction in financial engineering, and analyze how market-based and analytical approaches can be combined to obtain ef…
math.OC2017★ 49 cited
Matrix Minor Reformulation and SOCP-based Spatial Branch-and-Cut Method for the AC Optimal Power Flow Problem
Burak Kocuk, Santanu S. Dey, X. Andy Sun
Alternating current optimal power flow (AC OPF) is one of the most fundamental optimization problems in electrical power systems. It can be formulated as a semidefinite program (SD…