Reha Tutuncu
SECOR Asset Management

Reha is the Chief Risk Officer at SECOR Asset Management, LP. Previously, he held senior positions at Goldman Sachs Asset Management (GSAM) and at AQR Capital Management, focusing on portfolio construction research and risk management. Prior to his work in the industry, Reha was an Associate Professor at the Department of Mathematical Sciences at Carnegie Mellon University. He is a member of the editorial board of the Journal of Computational Finance and the co-author of the book Optimization Methods in Finance. Reha earned a B.S. in Industrial Engineering from Bilkent University as well as a Ph.D. in Operations Research from Cornell University.

Practical Multi-Period Optimization for Asset Management

Active portfolio management requires a careful balance between adjusting the portfolio positions in response to changing return predictions and the avoidance of costs associated with trading. Sophisticated multi-period portfolio optimization models can capture this tradeoff but may suffer from either intractability or impractical assumptions. Some recent approaches try to bridge this gap by developing approximation methods for the solution of the multi-period optimization model. We will review these approaches and present numerical results from our own experiments.

​