Bio-sketch
I primarily work in portfolio optimization which includes construction of optimal portfolio by appropriately building the optimization models based on specific objective and risk tolerance and subsequently testing the performance of the portfolio by quantitative and statistical tools on real market data. Portfolio optimization is a well known problem in finance where the decisions are made under uncertainty in which discarding may leads to an inferior or a wrong decision. During my Ph.D., I encountered with several intriguing topics of investment science to construct the portfolio using mean-risk modeling, stochastic dominance, robust optimization, multi-objecive programming, stochastic optimization, and fundamental/technical analysis. Beside optimization techniques, I am also exploring myself in using the tools from machine learning for integrating the investor behaviour in the process of portfolio construction.
Prior joining the NSUT, I was working with the Indian Institute of Information technology Guwahati for 4 years. I was associated with the B.tech students at IIIT Gh where we explored various possibilities of applying machine learning tools in the area of investment science as the part of students projects.
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Google Scholar link: https://scholar.google.com/citations?user=yOv77AoAAAAJ&hl=en
Areas of Interest
Optimization techniques, Probability and stochastic process, Probability and statistics, Financial Mathematics
- Publications in International Journal
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- Publications in National Journal
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- Publications in National Conferences
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- Publications in International Conferences
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- Books/Book Chapters
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- Publications (Click to expand)
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1. Sharma A. and Mehra A. (2013). Portfolio selection with a minimax measure in safety constraint, Optimization, 62(11), 1473-1500.
2. Sharma A. and Mehra A. (2014). How smart is the strategy of investing in 52-week high hitting stocks with past positive net profit in Indian market? International Journal of Behavioural Accounting and Finance, 4(4), 325-337.
3. Sharma A. and Mehra A. (2015). Extended omega ratio optimization for risk-averse investors, International Transactions in Operational Research, 24(3), 485-506.
4. Sharma, A. and Mehra, A. (2016). Financial analysis based sectoral portfolio optimization under second order stochastic dominance, Annals of Operational Research, 1-27.
5. Sharma, A., Agrawal, S., and Mehra, A. (2016). Enhanced indexing for risk averse investors using relaxed second order stochastic dominance, Optimization and Engineering, 1-36.
6. Sharma, A., Utz, S., and Mehra, A. (2017). Omega-CVaR portfolio optimization and its worst case analysis, OR Spectrum, 39(2), 505-539.
7. Goel, A., Sharma, A., and Mehra, A. (2018). Index tracking and enhanced indexing using mixed conditional value-at-risk, Journal of Computational and Applied Mathematics, 335, 361–380.
8. Goel, A., Sharma, A., and Mehra, A. (2019). Robust optimization of mixed CVaR STARR ratio using copulas, Journal of Computational and Applied Mathematics, 347, 62-83.
9. Goel, A. and Sharma, A. (2019). Deviation version of second order stochastic dominance for portfolio selection, International Transactions of Operational Research.
10. Goel, A. and Sharma, A. (2020). Mixed value-at-risk and its numerical investigation, Physica A: Statistical Mechanics and its Applications, 541.