Zachary Feinstein

• PhD (2014) Princeton University (Operations Research and Financial Engineering)
• MA (2011) Princeton University (Operations Research and Financial Engineering)
• BS (2009) Washington University in St. Louis (Systems Science and Engineering)

• Stevens Society of Financial Engineers Chair

• INFORMS Finance Section Secretary and Treasurer

Journal Article

1. Feinstein, Z.; Rudloff, B. (2024). Deep Learning the Efficient Frontier of Convex Vector Optimization Problems. Journal of Global Optimization.
2. Feinstein, Z.; Halaj, G. (2023). Interbank asset-liability networks with fire sale management. Journal of Economic Dynamics and Control (vol. 155, pp. 104734).
3. Amini, H.; Bichuch, M.; Feinstein, Z. (2023). Decentralized payment clearing using blockchain and optimal bidding. European Journal of Operational Research (1 ed., vol. 309, pp. 409-420).
4. Feinstein, Z.; Sojmark, A. (2023). Contagious McKean-Vlasov systems with heterogeneous impact and exposure. Finance and Stochastics (vol. 27, pp. 663-711).
5. Amini, H.; Feinstein, Z. (2023). Optimal network compression. European Journal of Operational Research (3 ed., vol. 306, pp. 1439-1455).
6. Feinstein, Z.; Rudloff, B. (2023). Characterizing and Computing the Set of Nash Equilibria via Vector Optimization. Operations Research.
7. Feinstein, Z.; Hurd, T. (2023). Contingent convertible obligations and financial stability. SIAM Journal on Financial Mathematics (1 ed., vol. 14, pp. 158-187).
8. Feinstein, Z. (2022). Clearing prices under margin calls and the short squeeze. SIAM Journal on Financial Mathematics (4 ed., vol. 13, pp. SC113-SC122).
9. Bichuch, M.; Feinstein, Z. (2022). Endogenous inverse demand functions. Operations Research (5 ed., vol. 70, pp. 2702-2714).
   https://doi.org/10.1287/opre.2022.2325.
10. Chen, Y.; Feinstein, Z. (2022). Set-valued dynamic risk measures for processes and vectors. Finance and Stochastics (vol. 26, pp. 505-533).
11. Banerjee, T.; Feinstein, Z. (2022). Pricing of debt and equity in a financial network with comonotonic endowments. Operations Research (4 ed., vol. 70, pp. 2085-2100).
    https://pubsonline.informs.org/doi/10.1287/opre.2022.2275.
12. Bichuch, M.; Feinstein, Z. (2022). A repo model of fire sales with VWAP and LOB pricing mechanisms. European Journal of Operational Research (1 ed., vol. 296, pp. 353-367).
    https://www.sciencedirect.com/science/article/pii/S037722172100374X.
13. Banerjee, T.; Feinstein, Z. (2021). Price mediated contagion through capital ratio requirements with VWAP liquidation prices. European Journal of Operational Research (3 ed., vol. 295, pp. 1147-1160).
    https://www.sciencedirect.com/science/article/pii/S0377221721002794.
14. Feinstein, Z.; Sojmark, A. (2021). Dynamic default contagion in heterogeneous interbank systems. SIAM Journal on Financial Mathematics (4 ed., vol. 12, pp. SC83-SC97).
    https://epubs.siam.org/doi/abs/10.1137/20M1376765.
15. Feinstein, Z.; Rudloff, B.; Zhang, J. (2021). Dynamic set values for nonzero sum games with multiple equilibriums. Mathematics of Operations Research (1 ed., vol. 47, pp. 616-642).
16. Ararat, C.; Feinstein, Z. (2020). Set-valued risk measures as backward stochastic difference inclusions and equations. Finance and Stochastics (vol. 25, pp. 43–76).
17. Clark, B.; Feinstein, Z.; Simaan, M. (2020). A machine learning efficient frontier. Operations Research Letters (5 ed., vol. 48, pp. 630-634).
18. Feinstein, Z. (2020). Capital regulation under price impacts and dynamic financial contagion. European Journal of Operational Research (2 ed., vol. 281, pp. 449-463). Elsevier BV.
    http://dx.doi.org/10.1016/j.ejor.2019.08.044.
19. Feinstein, Z. (2019). Obligations with Physical Delivery in a Multilayered Financial Network. SIAM Journal on Financial Mathematics (4 ed., vol. 10, pp. 877-906). Society for Industrial & Applied Mathematics (SIAM).
    http://dx.doi.org/10.1137/18m1194729.
20. Banerjee, T.; Feinstein, Z. (2019). Impact of contingent payments on systemic risk in financial networks. Mathematics and Financial Economics (4 ed., vol. 13, pp. 617-636). Springer Science and Business Media LLC.
    http://dx.doi.org/10.1007/s11579-019-00239-9.
21. Feinstein, Z.; Pang, W.; Rudloff, B.; Schaanning, E.; Sturm, S.; Wildman, M. (2018). Sensitivity of the Eisenberg–Noe clearing vector to individual interbank liabilities. SIAM Journal on Financial Mathematics (4 ed., vol. 9, pp. 1286-1325).
22. Feinstein, Z. (2017). Financial contagion and asset liquidation strategies. Operations Research Letters (2 ed., vol. 45, pp. 109-114). Elsevier BV.
    http://dx.doi.org/10.1016/j.orl.2017.01.004.
23. Feinstein, Z.; Rudloff, B.; Weber, S. (2017). Measures of Systemic Risk. SIAM Journal on Financial Mathematics (1 ed., vol. 8, pp. 672-708). Society for Industrial & Applied Mathematics (SIAM).
    http://dx.doi.org/10.1137/16m1066087.
24. Cassidy, A.; Feinstein, Z.; Nehorai, A. (2016). Risk measures for power failures in transmission systems. Chaos: An Interdisciplinary Journal of Nonlinear Science (11 ed., vol. 26, pp. 113110). AIP Publishing.
    http://dx.doi.org/10.1063/1.4967230.