Pavlo Krokhmal

Professional   |   Personal

• Contact

  • Pavlo Krokhmal
    Assistant Professor
    Department of Mechanical and Industrial Engineering
    The University of Iowa
    2403 Seamans Center
    Iowa City, IA 52242
    Tel: 319.335.5680,   Fax: 319.335.5669
    E-mail:   krokhmal@engineering.uiowa.edu

• Education

  • Ph.D. Operations Research (2003)
    University of Florida

    Ph.D. Mechanics of Solids and Applied Mathematics (1999)
    Kiev National University, Ukraine

• Stochastic Optimization, Risk Management, Financial Engineering

  • Krokhmal, P. (2007) Higher Moment Risk Measures, Quantitative Finance, 7(4), 373-387.

    Krokhmal, P. and S. Uryasev (2007) A Sample-Path Approach to Optimal Position Liquidation, Annals of Operations Research, 152(1), 193-225.

    Krokhmal, P., Rockafellar, R. T., and S. Uryasev (2006) Risk management and optimization in finance, Journal of Banking and Finance, 30(2).

    Krokhmal, P., and Murphey, R. (2006) Modeling and Implementation of Risk-Averse Preferences in Stochastic Programs Using Risk Measures, In: Kurdila et al (Eds) Robust Optimization-Directed Design, Springer Publishers, 95-116.

    Krokhmal, P., Uryasev, S., and G. Zrazhevsky (2005) Numerical Comparison of CVaR and CDaR Approaches: Application to Hedge Funds. In: S. W. Wallace and W. T. Ziemba (Eds) Applications of Stochastic Programming, SIAM/MPS Series on Optimization, 609-631.

    Krokhmal, P., Murphey, R., Pardalos, P., and S. Uryasev (2004) Use of Conditional Value-at-Risk in Stochastic Programs with Poorly Defined Distributions, In: S. Butenko, R. Murphey, and P. Pardalos (Eds) Recent Developments in Cooperative Control and Optimization, Kluwer Academic Publishers, 225-242.

    Krokhmal, P., Murphey, R., Pardalos, P., Uryasev, S., and G. Zrazhevsky (2003) Robust Decision Making: Addressing Uncertainties in Distributions, In: S. Butenko et al (Eds) Cooperative Control: Models, Applications and Algorithms, Kluwer Academic Publishers, 165-185.

    Krokhmal, P., Palmquist, J., and S. Uryasev (2002) Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints. Journal of Risk, 4(2), 43-68.

    Krokhmal, P., Uryasev, S., and G. Zrazhevsky (2002) Risk Management for Hedge Fund Portfolios: A Comparative Analysis of Linear Rebalancing Strategies. Journal of Alternative Investments, 5(1), 10-29.

• Probabilistic Analysis of Combinatorial Problems

  • Krokhmal, P. and P. Pardalos (2007) Random Assignment Problems, European Journal of Operational Research, to appear.

    Krokhmal, P., Grundel, D., and P. Pardalos (2007) Asymptotic Behavior of the Expected Optimal Value of the Multidimensional Assignment Problem, Mathematical Programming, 109(2-3), 525-551.

    Grundel, D., Krokhmal, P., Oliveira C., and P. Pardalos (2007) On the Number of Local Minima for the Multidimensional Assignment Problem, Journal of Combinatorial Optimization, 13(1), 1-18.

    Kammerdiner, A., Krokhmal, P., and P. Pardalos (2007) On Some Characteristics of the Distribution of Hamming Distance Values Between Solutions of Multidimensional Assignment Problem, In: M. Hirsch et al (Eds) Advances in Cooperative Control and Optimization, to appear.

    Krokhmal, P., (2007) Asymptotic behavior of random multidimensional assignment problem, In: P. Pardalos, C. Floudas (Eds) Encyclopedia of Optimization, to appear.

    Grundel, D., Krokhmal, P., Oliveira, C. A. S., and P. M. Pardalos (2005) On the average case behavior of the multidimensional assignment problem, Pacific Journal of Optimization, 1(1), 39-57.

• Cooperative Control

  • Krokhmal, P., and D. Jeffcoat (2007) Distributed Cooperative Systems with Human Operator-in-the-Loop, In: M. Hirsch et al (Eds) Advances in Cooperative Control and Optimization, Springer Publishers, to appear.

    Jeffcoat, D., Krokhmal, P., and O. Zhupanska (2006) Effects of Cueing in Cooperative Search. Naval Research Logistics, 53(8), 814-821.

    Jeffcoat, D., Krokhmal, P., and O. Zhupanska (2006) A Markov Chain Approach to Analysis of Cooperation in Search Missions. In: D. Grundel et al (Eds), Cooperative Systems: Control and Optimization, Springer Lecture Notes in Economics and Mathematical Sciences, 588, 171-184.

• Mechanics of Solids and Applied Mathematics

  • Zabarankin, M. and P. Krokhmal (2007) Generalized Analytic Functions in 3D Stokes Flows, The Quarterly Journal of Mechanics and Applied Mathematics, 60(2), 99-123.

    Krokhmal, P. (2002) Exact Solution of the Displacement Boundary-Value Problem of Elasticity for a Torus", Journal of Engineering Mathematics, 44, 345-368.

    Krokhmal P. A. (1999) Two Elasticity Problems for a Space with a Rigid Toroidal Inclusion, Mashinoznavstvo, 3, 32-38 [in Ukrainian].

    Krokhmal P. A. (1999) Axisymmetric displacement boundary-value problem of elasticity for a torus, Bull. Kyiv Univ., Series Phys.-Math. Sci., 2, 30-35 [in Ukrainian].

    Krokhmal P. A. (1999) Exact Solution of the Second Fundamental Boundary-Value Problem of Elasticity for a Torus, Reports of National Academy of Sciences of Ukraine, 11, 68-72 [in Ukrainian].

• Fluid Dynamics and Stokes Flows

  • Krokhmal P. A. and A. F. Ulitko (1998) Exact Solution of the Stokes Equations for a Torus, Bull. Kiev Univ., Series Math. and Mech., 2, 48-55 [in Ukrainian].

    Krokhmal P. A. (1995) Motion of a Rigid Annular Plate in a Stokes Fluid, In: Contemporary Research in Physics and Mathematics of Young Scientists of Ukraine, 72-79 [in Ukrainian].

• Research support

  • AFOSR, FA9550-07-1-0047 Human Supervision of Time Critical Control Systems, 2007-2010

    U.S. Department of Air Force, FA8651-07-1-0001 A Markov Chain Approach to Modeling and Analysis of Information Sharing and Cooperation in Multi-Agent Autonomous Formations, 2007-2010

    U.S. Department of Air Force, FA8651-06-1-0008 Modeling and analysis of multi-agent cooperative formations with human operator-in-the-loop, 2006-2007

    National Science Foundation, DMI 0457473 Percentile-Based Risk Management Approaches in Discrete Decision Making Problems, 2005-2008

    U.S. Department of Air Force, F08635-03-D-0130/0009 Stochastic Optimization and Decision Making Under Uncertainty, 2005

    U.S. Department of Air Force, F08635-03-D-0130/SOO-04-0008, Research in Autonomous and Cooperative Micro Air Vehicles, 2004

• Teaching

  • 056:274 Stochastic Optimization (Fall 2007)
    056:166 Stochastic Modeling (Fall 2007)
    056:054 Engineering Economics (Spring 2007)
    056:166 Stochastic Modeling (Fall 2006)
    056:054 Engineering Economics (Spring 2006)
    056:295:003 Stochastic Optimization (Fall 2005)
    EIN 6905 Systems Design (Spring 2005)
    STA 6326 Introduction to Theoretical Statistics I (Fall 2004)
    EIN 7933 Game Theory (Spring 2004)
    ESI 6912 Introduction to Stochastic Optimization (Fall 2003)
    STA 4321 Mathematical Statistics 1 (Fall 2003)
    

• Professional service

  • Associate Editor, Optimization Letters

    Co-Editor, special issue of the Journal of Banking and Finance

    Co-Organizer, International Conference on Modeling, Optimization, and Risk Management in Finance, March 5-7, 2003, Gainesville, FL

    Co-Organizer, Workshop on Risk-Return Management of Bank Portfolios , March 3-4, 2003, Gainesville, FL
    Co-Organizer, Workshop on Risk-Return Management of Bank Portfolios , November 4-5, 2002, Gainesville, FL

• Awards

  • Institute for Operations Research and the Management Sciences, Doctoral Colloquium Participant (2002)

    National Academy of Sciences of Ukraine, Diploma in the Competition of Young Scientists and Students for the Best Research Project (1997)

    National Academy of Sciences of Ukraine, Scholarship for scientific and academic achievements (1994 - 1996)

    International Soros Science and Education Program, Soros Student Award (1994)