Dr Diana Roman

Dr Diana Roman Lecturer
Room: John Crank 308
Brunel University London
United Kingdom
Tel: +44 (0)1895 267502
Fax: +44 (0)1895 269732
Email: diana.roman@brunel.ac.uk
Web: Google Scholar Profile

University Research Centre Membership

Research Group Membership


Journal Papers

(2013) Roman, D., Mitra, G. and Zverovich, V., Enhanced indexation based on second-order stochastic dominance, European Journal of Operational Research 228 (1) : 273- 281 Download publication

(2012) Erlwein, C., Mitra, G. and Roman, D., HMM based scenario generation for an investment optimisation problem, Annals of Operations Research 193 (1) : 173- 192 Download publication

(2011) Fabian, C., Mitra, G., Roman, D. and Zverovich, V., An enhanced model for portfolio choice with SSD criteria: A constructive approach, Quantitative Finance 11 (10) : 1525- 1534

(2011) Fábián, CI., Mitra, G. and Roman, D., Processing second order stochastic dominance models using cutting plane representations, Mathematical Programming 130 (1) : 33- 37 Download publication

(2010) Roman, D., Mitra, G. and Spagnolo, N., Hidden Markov models for financial optimization problems, IMA Journal of Management Mathematics 21 (2) : 111- 129 Download publication

(2010) Kumar, R., Mitra, G. and Roman, D., Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures, Journal of Risk 13 (2) : 71- 100

(2009) Roman, D. and Mitra, G., Portfolio selection models: a review and new directions, Wilmott Journal 1 (2) : 69- 85 Download publication

(2007) Roman, D., Darby-Dowman, K. and Mitra, G., Mean-risk models using two risk measures: a multi-objective approach, Quantitative Finance 7 (4) : 443- 458 Download publication

(2006) Roman, D., Darby-Dowman, K. and Mitra, G., Portfolio construction based on stochastic dominance and target return distributions, Mathematical Programming 108 (2-3) : 541- 569

Book Chapters

(2011) Hussin, SS., Roman, D., Mitra, G. and Ahmad, WKW., Comparison of employees provident funds in Malaysia, Sri Lanka, India and Thailand. In: Mitra, G. and Schwaiger, K. eds. Asset and Liability Management Handbook. Palgrave

(2011) Fabian, CI., Mitra, G., Roman, D., Zverovich, V., Vajnai, T., Csizmas, E. and Papp, O., Portfolio choice models based on second-order stochastic dominance measures: An overview and a computational study. In: Bertocchi, M., Consigli, G. and Dempster, MAH. eds. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Market Strategies. London : Springer (163) : 441- 470

Page last updated: Friday 29 August 2014