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Robert A. Stubbs
Robert A. Stubbs
Northwestern University, Axioma, Qontigo
Verified email at qontigo.com
Title
Cited by
Cited by
Year
A branch-and-cut method for 0-1 mixed convex programming
RA Stubbs, S Mehrotra
Mathematical programming 86 (3), 515-532, 1999
4021999
Incorporating estimation errors into portfolio selection: Robust portfolio construction
S Ceria, RA Stubbs
Journal of Asset Management 7 (2), 109-127, 2006
2342006
Generating convex polynomial inequalities for mixed 0–1 programs
RA Stubbs, S Mehrotra
Journal of Global Optimization 24 (3), 311-332, 2002
372002
Factor alignment problems and quantitative portfolio management
S Ceria, A Saxena, RA Stubbs
Journal of Portfolio Management 38 (2), 29-43, 2012
342012
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
242013
Computing return estimation error matrices for robust optimization
RA Stubbs, P Vance
Axioma Research Papers 1, 1-9, 2005
232005
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
222012
Identifying and compensating for model mis-specification in factor risk models
RA Stubbs, SH Schmieta
US Patent 7,698,202, 2010
222010
Augmented Risk Models to Mitigate Factor Alignment Problems
S Anureet, RA Stubbs
Journal of Investment Management 13 (3), 57-79, 2015
20*2015
Multiportfolio optimization: A natural next step
MWP Savelsbergh, RA Stubbs, D Vandenbussche
Handbook of Portfolio Construction, 565-581, 2010
20*2010
Constraint attribution
RA Stubbs, D Vandenbussche
Journal of Portfolio Management 36 (4), 48-59, 2010
152010
Branch-and-cut methods for mixed 0-1 convex programming
RA Stubbs
PhD thesis, Northwestern University, 1996
131996
Identifying and compensating for model mis-specification in factor risk models
RA Stubbs, SH Schmieta
US Patent 8,315,936, 2012
122012
Constraints in quantitative strategies: An alignment perspective
A Saxena, C Martin, RA Stubbs
Journal of Asset Management 14 (5), 278-292, 2013
11*2013
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
112013
Adjusted Factor-Based Performance Attribution
RA Stubbs, V Jeet
The Journal of Portfolio Management 42 (5), 67-78, 2016
102016
Adjusted Factor-Based Performance Attribution
RA Stubbs, V Jeet
US Patent App. 14/336,123, 2014
102014
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
102006
Predictor-corrector methods for a class of linear complementarity problems
S Mehrotra, RA Stubbs
SIAM Journal on Optimization 4 (2), 441-453, 1994
91994
Alpha construction in a consistent investment process
S Ceria, K Sivaramakrishnan, RA Stubbs
Portfolio Construction, Measurement, and Efficiency, 257-274, 2017
32017
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