Research Work

Research Interests:

  • Theory:

    • Data-Driven Distributionally Robust Optimization

    • Stochastic Programming and Chance-Constrained Programming

    • Statistical Learning

  • Application:

    • Financial Engineering and Portfolio Optimization

    • Humanitarian Relief and Disaster Management

    • Power System with Renewable Energy

    • Inventory and Supply Chain Optimization

Published or Accepted Journal Publications

  • Ji, Ran, and Miguel A. Lejeune, ‘‘Data-Driven Optimization with Reward-Risk Ratio Measures’’, Accepted, INFORMS Journal on Computing (2020). [Link] [Codes]

  • Ji, Ran, Bardia Kamrad, ‘‘Newsvendor Model as an Exchange Option on Demand and Supply Uncertainty’’, Production and Operations Management (2019): 28(10), 2456-2470. [Link]

  • Ji, Ran, Miguel A. Lejeune, ‘‘Risk-Budgeting Multi-Portfolio Optimization with Portfolio and Marginal Risk Constraints’’, Annals of Operations Research (2018): 262(2), 547-578. [Link]

  • Ji, Ran, Miguel A. Lejeune, and Srinivas Y. Prasad, ‘‘Properties, Formulations and Algorithms for Portfolio Optimization Using Mean-Gini Criteria’’, Annals of Operations Research (2017): 248(1), 305-343. [Link]

Papers Under Review or Revision

  • Ji, Ran, and Miguel A. Lejeune, ‘‘Data-Driven Distributionally Robust Chance-Constrained Programming with Wasserstein Metric’’, Major Revision, Journal of Global Optimization, 2018. [Link]

  • Ji, Ran, Miguel A. Lejeune and Zhengyang Fan ‘‘Distributionally Robust Portfolio Optimization with STARR Performance Measure’’, Under Review, 2019. [Link]

  • Kamrad, Bardia, and Ran Ji, ‘‘Risk-averse Newsvendor, Contingent Sourcing and Shortage Retrieval Options’’, Under Review.

  • Kamrad, Bardia, Ran Ji and Glen M. Schmidt, ‘‘Mitigating Supply Risk: Multiple Sourcing as a Portfolio of Options’’, Under Revision to Resubmit.

  • Kamrad, Bardia, and Ran Ji, ‘‘Supply Uncertainty and Multi-Sourcing Options Portfolio’’, Under Revision to Resubmit.

Book Chapters

  • Ji, Ran, Miguel A. Lejeune, and Srinivas Y. Prasad,‘‘Interactive Portfolio Optimization Using Mean-Gini Criteria’’, Financial Decision Aid using Multiple Criteria Models (2018): 49-91. Springer Cham. [Link]

  • Kamrad, Bardia, Ran Ji and Glen M. Schmidt, ‘‘Managing Supply Risk in Fixed Price Contracts: A Contingent Claims Perspective’’, Foundations and Trends in Technology, Information, and Operations Management (2018):11(1-2), 65-88. [Link]

Conference Proceedings

  • Ji, Ran, KC Chang, and Zhenlong Jiang, ‘‘Risk-Aversion Adjusted Portfolio Optimization with Predictive Modeling’’, In 2019 22nd International Conference on Information Fusion (FUSION) (2019). IEEE [Link ]

  • Dong, Zhijie, Shaolong Hu, and Ran Ji, ‘‘A CVaR Based Facility Location Model for Uncertain Demand in Disaster Operation Management’’, Proceedings of the 2019 IISE Annual Conference (2019).

  • Ji, Ran, Miguel A. Lejeune, and Srinivas Y. Prasad,‘‘Dynamic Portfolio Optimization with Risk-Aversion Adjustment Utilizing Technical Indicators’’, 20th International Conference on Information Fusion Proceedings, (2017):1787-1794. [Link]

Conference/Seminar Presentations

  • A CVaR Based Facility Location Model for Uncertain Demand in Disaster Operation Management, IISE Annual Conference (2019), Orlando, FL.

  • Newsvendor Model as an Exchange Option on Demand and Supply Uncertainty, POMS 30th Annual Conference (2019), Washington DC.

  • Data-Driven Distributionally Robust Chance-Constrained Optimization with Wasserstein Metric, INFORMS Annual Meeting (2018), Phoenix, AZ.

  • Data-Driven Distributionally Robust Chance-Constrained Optimization with Wasserstein Metric, 23rd International Symposium on Mathematical Programming (ISMP 2018), Bordeaux, France.

  • Data-Driven Distributionally Robust Stochastic Optimization: Theory and Applications, Seminar at College of Water Resources and Civil Engineering, China Agricultural University (2018), Beijing, China.

  • Data-Driven Distributionally Robust Chance-Constrained Programming with Wasserstein Metric, INFORMS Annual Meeting (2017), Houston, TX.

  • Dynamic Portfolio Optimization with Risk-Aversion Adjustment Utilizing Technical Indicators, 20th International Conference on Information Fusion (Fusion 2017), Xi'an, China.

  • Data-Driven Optimization of Reward-Risk Ratio Measures, INFORMS Annual Meeting (2016), Nashville, TN.

  • Portfolio Optimization with Probabilistic Ratio Constraints, INFORMS Annual Meeting (2015), Philadelphia, PA.

  • Risk-Budgeting Multi-Portfolio Optimization with Portfolio and Marginal Risk Constraints, INFORMS Annual Meeting (2015), Philadelphia, PA.

  • Risk-Budgeting Multi-Portfolio Optimization with Portfolio and Marginal Risk Constraints, 22nd International Symposium on Mathematical Programming (ISMP 2015), Pittsburgh, PA.

  • Portfolio Optimization Using Gini-based Risk Measures, INFORMS Annual Meeting (2014), San Francisco, CA.

  • Stochastic Multi-Portfolio Optimization: Threshold Boolean Programming Model and Solution, INFORMS Annual Meeting (2013), Minnesota, MI.

  • Combinatorial Data Mining Method for Multi-Portfolio Stochastic Asset Allocation, XIII International Conference of Stochastic Programming (ICSP 2013), Bergamo, Italy.

  • Interactive Portfolio Optimization Using Mean-Gini Criteria, INFORMS Annual Meeting (2012), Phoenix, AZ