Overview
Reha H. Tütüncü is an optimization researcher (at the time, Department of Mathematical Sciences, Carnegie Mellon University; later in quantitative asset management), known for interior-point methods, convex/conic optimization, and robust portfolio optimization.
Key Contributions / Features
- Robust asset allocation (Tütüncü-Koenig 2004): worst-case mean-variance optimization over uncertainty sets, with the saddle-point maximin formulation and algorithm (Halldórsson–Tütüncü 2003).
- SDPT3 solver: co-author of the widely used semidefinite–quadratic–linear programming solver.
- Co-author (with Cornuéjols) of Optimization Methods in Finance.
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