Sid Browne e-mail: sb30@columbia.edu

Published Papers

BROWNE, S., MILEVSKY, M.A., and SALISBURY, T.S., Asset Allocation and the Liquidity Premium for Illiquid Annuities, The Journal of Risk and Insurance, Vol.70, No.3, 509-526, 2003.
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BROWNE, S., Risk Constrained Dynamic Active Portfolio Management, Management Science 46, 9, September 2000.
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BROWNE, S., Stochastic Differential Portfolio Games, Journal of Applied Probability, 37, 1, 126-147, March 2000.
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BROWNE, S., The Risks and Rewards of Minimizing Shortfall Probability, Journal of Portfolio Management 25, 4, 76-85, Summer 1999.
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BROWNE, S., Reaching Goals by a Deadline: Digital Options and Continuous Time Active Portfolio Management, Advances in Applied Probability 31, 551-577, 1999.
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BROWNE, S., Beating a Moving Target: Optimal Portfolio Strategies for Outperforming a Stochastic Benchmark, Finance\& Stochastics 3, 275-294, 1999.
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BROWNE, S., Optimal Growth in Continuous Time with Credit Risk, Probability in the Engineering and Informational Sciences 13, 129-145, 1999.
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BROWNE, S., The Return on Investment from Proportional Portfolio Strategies, Advances in Applied Probability 30, 1, 216-238, 1998.
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BROWNE, S., and Whitt, W., Portfolio Choice and the Bayesian Kelly Criterion, Advances in Applied Probability 28, 4, 1145-1176, 1996.
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BROWNE, S., and Glazebrook, K.D., Scheduling Jobs subject to Failure Propagation, Naval Research Logistics 43, 265-288, 1996.

BROWNE, S., Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin, Mathematics of Operations Research 20, 4, 937-958, 1995.
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BROWNE, S., and BUNGE, J., Random Record Processes and State Dependent Thinning, Stochastic Processes and their Applications 55, 131-142, 1995. (Download Paper)

BROWNE, S., and KELLA, O., Parallel Service with Vacations, Operations Research 43, 5, 870-878, 1995.
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BROWNE, S., and STEELE, J.M., Transient Behavior of Coverage Processes with Applications to the Infinite Server Queue, Journal of Applied Probability 30, 589-602, 1993. (Download Paper)

BROWNE, S., COFFMAN, E.G., GILBERT, E.N., and WRIGHT, P.E., Gated, Exhaustive, Parallel Service, Probability in the Engineering and Informational Sciences 6, 217-239, 1992.

BROWNE, S., COFFMAN, E.G., GILBERT, E.N., and WRIGHT, P.E., The Gated Infinite Server Queue: Uniform Service Times, S.I.A.M. Journal on Applied Mathematics 52, 6, 1751-1762, 1992.
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BROWNE, S., and WEISS, G., Dynamic Priority Rules for Polling with Multiple Servers, Operations Research Letters 12, 3,129-138, 1992.

BROWNE, S., and SIGMAN, K., Work-Modulated Queues with Applications to Storage Processes, Journal of Applied Probability 29, 3, 699-712, 1992.

BROWNE, S., and ZIPKIN, P., Inventory Models with Continuous Stochastic Demands, The Annals of Applied Probability 1, 3, 419-435, 1991.

BROWNE, S., and YECHIALI, U., Dynamic Scheduling in Single Server Multiclass Service Systems with Unit Buffers, Naval Research Logistics 38, 3, 382-396, 1991.

BROWNE, S., Maximizing the Expected Time to Ruin for a Company Operating N Distinct Funds with a Superclaims Process, Insurance: Mathematics and Economics 9, 1, 30-37, 1990.

BROWNE, S., and YECHIALI, U., Scheduling Deteriorating Jobs on a Single Processor, Operations Research 38, 3, 495-498, 1990.
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BROWNE, S., and YECHIALI, U., Dynamic Priority Rules for Cyclic-Type Queues, Advances in Applied Probability 21, 2, 432-450, 1989.

Refereed Conference Proceedings / Book Chapters

BROWNE, S., Balancing Growth and Shortfall Probability in Active Portfolio Management,
Chapter 11 in Advances in Portfolio Construction and Implementation, Satchell, S. and Scowcroft, A, editors,
Butterworth-Heinemann Finance 2003.
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BROWNE, S., Can You Do Better Than Kelly In the Short Run? Chapter 12 (pages 215- 231) in Finding the Edge: Mathematical Analysis of Casino Games, edited by Vancura, 0., Ending-ton, W., and Cornelius, J. Reno: Institute for the Study of Gambling & Commercial Gaming, University of Nevada, 2000.
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BROWNE, S., Reaching Goals by a Deadline: Digital Options and Continuous Time Active Portfolio Management, Proceedings of the 1997 Annual JAFE Conference, International Association of Financial Engineers, NY.

BROWNE, S., AND WHITT, W., Piecewise- Linear Diffusion Processes, Chapter 18 in Advances in Queueing, CRC Press, 1995, 463-480.
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BROWNE, S., AND YECHIALI, U., Dynamic Routing in Polling Systems, in Teletraffic Science for New Cost-Effective Systems, Networks and Services, (M. Bonatti, ed.) ITC-12, 1989, 1455-1466. North Holland, Amsterdam.

Selected Working Papers/Technical Reports

BROWNE, S., Stochastic Processes for Financial Engineering, (book manuscript, in progress).

BROWNE, S., A Portfolio Theoretic Approach for Developing Stress Tests for Nonlinear Portfolios.

BROWNE, S., The Risks in Analytical Nonlinear Risk with Differing Covariance Matrices.

BROWNE, S., Risk Budgeting with Nonlinear Assets.

BROWNE, S., A Speculative Approach to Hedging.

BROWNE, S., A New Market Based Approach for Determining Fair Risk Premiums.

BROWNE, S., Records, Mixed Poisson Processes and Optimal Selection Problems: an Intensity approach.
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BROWNE, S., Optimal Strategies for Selling an Asset with Diffusion of Information.

BROWNE, S., Estimating Sample Size Characteristics from Extreme Values.

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