Professor Reha H. Tutuncu (Ph.D. Cornell University 1996): My work focuses on the development, analysis, and implementation of algorithms for optimization problems. I am also interested in the financial optimization models that arise from portfolio selection problems, risk management scenarios, and pricing of derivative securities. I taught courses on portfolio optimization in our MSCF program and authored articles on the efficient computation of the market portfolio as well as the robust solution of mean-variance optimization problems when the moment estimates are unreliable. My other work includes optimization models for chemical process engineering problems, development of optimal strategies for search games, and optimization over symmetric cones.
