| Pricing American options: a duality approach MB Haugh, L Kogan Operations Research 52 (2), 258-270, 2004 | 618 | 2004 |
| Supply contracts with financial hedging R Caldentey, MB Haugh Operations Research 57 (1), 47-65, 2009 | 226 | 2009 |
| Optimal control and hedging of operations in the presence of financial markets R Caldentey, M Haugh Mathematics of Operations Research 31 (2), 285-304, 2006 | 178 | 2006 |
| Asset allocation and derivatives MB Haugh, AW Lo Quantitative Finance 1 (1), 45, 2001 | 106 | 2001 |
| Evaluating portfolio policies: A duality approach MB Haugh, L Kogan, J Wang Operations Research 54 (3), 405-418, 2006 | 57 | 2006 |
| Information relaxation bounds for infinite horizon Markov decision processes DB Brown, MB Haugh Operations Research 65 (5), 1355-1379, 2017 | 40 | 2017 |
| Duality theory and approximate dynamic programming for pricing American options and portfolio optimization MB Haugh, L Kogan Handbooks in operations research and management science 15, 925-948, 2007 | 33 | 2007 |
| A generalized risk budgeting approach to portfolio construction MB Haugh, G Iyengar, I Song Available at SSRN 2462145, 2015 | 29 | 2015 |
| A unified approach to multiple stopping and duality SS Chandramouli, MB Haugh Operations Research Letters 40 (4), 258-264, 2012 | 29 | 2012 |
| Computational challenges in portfolio management MB Haugh, AW Lo Computing in Science & Engineering 3 (3), 54-59, 2001 | 29 | 2001 |
| Consistent pricing of options on leveraged ETFs A Ahn, M Haugh, A Jain SIAM Journal on Financial Mathematics 6 (1), 559-593, 2015 | 28 | 2015 |
| How to play fantasy sports strategically (and win) MB Haugh, R Singal Management Science 67 (1), 72-92, 2021 | 24* | 2021 |
| Tax-aware dynamic asset allocation M Haugh, G Iyengar, C Wang Operations Research 64 (4), 849-866, 2016 | 23 | 2016 |
| Dynamic portfolio execution and information relaxations M Haugh, C Wang SIAM Journal on Financial Mathematics 5 (1), 316-359, 2014 | 20 | 2014 |
| Linear–quadratic control and information relaxations M Haugh, AEB Lim Operations Research Letters 40 (6), 521-528, 2012 | 20 | 2012 |
| A note on constant proportion trading strategies MB Haugh Operations Research Letters 39 (3), 172-179, 2011 | 19 | 2011 |
| Duality theory and simulation in financial engineering Haugh Proceedings of the 2003 Winter Simulation Conference, 2003. 1, 327-334 Vol. 1, 2003 | 15 | 2003 |
| The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies MB Haugh, A Jain Quantitative Finance 11 (1), 81-99, 2011 | 12* | 2011 |
| Information relaxation bounds for partially observed Markov decision processes MB Haugh, OR Lacedelli IEEE Transactions on Automatic Control 65 (8), 3256-3271, 2019 | 10 | 2019 |
| Information Relaxations and Dynamic Zero-Sum Games M Haugh, C Wang arXiv preprint arXiv:1405.4347, 2014 | 10 | 2014 |
Leonid KoganProfessor of Finance, Sloan School of Management, MITVerified email at mit.edu
