Sid Browne

Biography

Professor Browne joined Columbia in 1988 and received tenure in 1996. His research focused on quantitative asset allocation issues for institutional investors, including pension funds and insurance companies, as well as general portfolio risk theory. From 1998 to 2002 and then again from 2004 to 2006 he worked at Goldman Sachs, where he headed the quantitative modeling group in the firmwide risk management department, and then headed quantitative research and risk at their alternative asset management business. He holds four patents on risk modeling techniques he developed there. From 2006 to 2009 he was global head of quantitative and systematic strategies at Brevan Howard Asset Management, and is currently a Managing Director at Credit Suisse Asset Management.

Research

Journal articles

Asset Allocation and the Liquidity Premium for Illiquid Annuities In Journal of Risk and Insurance (2003)
Coauthor(s): Sid Browne, Moshe Milevsky, Tom Salisbury

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Risk-Constrained Dynamic Active Portfolio Management In Management Science (2000)
Coauthor(s): Sid Browne

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Stochastic Differential Portfolio Games In Journal of Applied Probability (2000)
Coauthor(s): Sid Browne

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Beating a Moving Target: Optimal Portfolio Strategies for Outperforming a Stochastic Benchmark In Finance and Stochastics (1999)
Coauthor(s): Sid Browne

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Optimal Growth in Continuous-Time with Credit Risk In Probability in the Engineering and Informational Sciences (1999)
Coauthor(s): Sid Browne

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Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management In Advances in Applied Probability (1999)
Coauthor(s): Sid Browne

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The Risks and Rewards of Minimizing Shortfall Probability In Journal of Portfolio Management (1999)
Coauthor(s): Sid Browne

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The Return on Investment from Proportional Portfolio Strategies In Advances in Applied Probability (1998)
Coauthor(s): Sid Browne

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Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time In Mathematics of Operations Research (1997)
Coauthor(s): Sid Browne

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Portfolio Choice and the Bayesian Kelly Criterion In Advances in Applied Probability (1996)
Coauthor(s): Sid Browne, Ward Whitt

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Scheduling Jobs That Are Subject to Failure Propagation In Naval Research Logistics (1996)
Coauthor(s): Sid Browne, Kevin Glazebrook

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Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin In Mathematics of Operations Research (1995)
Coauthor(s): Sid Browne

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Parallel Service with Vacations In Operations Research (1995)
Coauthor(s): Sid Browne, Offer Kella

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Random Record Processes and State Dependent Thinning In Stochastic Processes and Their Applications (1995)
Coauthor(s): Sid Browne, John Bunge

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Transient Behavior of Coverage Processes with Applications to the Infinite Server Queue In Journal of Applied Probability (1993)
Coauthor(s): Sid Browne, J. Steele

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Dynamic Priority Rules for Polling with Multiple Servers In Operations Research Letters (1992)
Coauthor(s): Sid Browne, Gideon Weiss

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Gated, Exhaustive, Parallel Service In Probability in the Engineering and Informational Sciences (1992)
Coauthor(s): Sid Browne, EG Coffman, EN Gilbert, Paul Wright

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The Gated Infinite Server Queue: Uniform Service Times In SIAM Journal on Applied Mathematics (1992)
Coauthor(s): Sid Browne

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Work-Modulated Queues with Applications to Storage Processes In Journal of Applied Probability (1992)
Coauthor(s): Sid Browne, Karl Sigman

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Dynamic Scheduling in Single Server Multiclass Service Systems with Unit Buffers In Naval Research Logistics (1991)
Coauthor(s): Sid Browne, Uri Yechiali

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Inventory Models with Continuous Stochastic Demands In Annals of Applied Probability (1991)
Coauthor(s): Sid Browne, Paul Zipkin

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Maximizing the Expected Time to Ruin for a Company Operating N Distinct Funds with a "Superclaims" Process In Insurance: Mathematics and Economics (1990)
Coauthor(s): Sid Browne

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Scheduling Deteriorating Jobs on a Single Processor In Operations Research (1990)
Coauthor(s): Sid Browne, Uri Yechiali

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Dynamic Priority Rules for Cyclic-Type Queues In Advances in Applied Probability (1989)
Coauthor(s): Sid Browne, Uri Yechiali

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Chapters

Drawdown Minimization In Encyclopedia of Quantitative Finance (2009)
Coauthor(s): Sid Browne

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Balancing Growth and Shortfall Probability in Active Portfolio Management In Advances in Portfolio Construction and Implementation (2003)
Coauthor(s): Sid Browne

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Can You Do Better Than Kelly in the Short Run? In Finding the Edge: Mathematical Analysis of Casino Games (2000)
Coauthor(s): Sid Browne

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Piecewise-Linear Diffusion Processes In Advances in Queueing: Theory, Methods, and Open Problems (1995)
Coauthor(s): Sid Browne, Ward Whitt

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Dynamic Routing in Polling Systems In Teletraffic Science for New Cost-Effective Systems, Networks, and Services (1989)
Coauthor(s): Sid Browne, Uri Yechiali

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Working papers

Reaching Goals by a Deadline: Digital Options and Continuous Time Active Portfolio Management In Proceedings of the 1997 Annual JAFE Conference (1997)
Coauthor(s): Sid Browne

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