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Dessislava Pachamanova

Professor

Zwerling Family Endowed Research Scholar
Academic Division: Math & Science
781-239-6671

Bio

Dr. Pachamanova’s research and consulting span multiple fields, including financial modeling, robust optimization, operations, predictive analytics, and simulation. She has authored and coauthored tens of articles in operations research, finance, accounting, engineering, marketing and management journals, numerous book chapters, as well as three books in computational finance and risk management: Robust Portfolio Optimization and Management (2007), Simulation and Optimization in Finance: Modeling with MATLAB, @RISK, or VBA (2010), and Portfolio Construction and Analytics (2016), all part of The Frank J. Fabozzi Series in Finance, J. Wiley & Sons. Dr. Pachamanova greatly enjoys teaching and curriculum development. She teaches courses in analytics and computational finance in the undergraduate and the MBA programs, and co-designed Babson’s undergraduate and MBA business analytics concentration curricula. She serves as the faculty director of two open enrollment business analytics programs at Babson Executive Education, Business Analytics for Managers (face-to-face format) and the Babson-Pearson Business Analytics for Managers in India program (blended format). Dr. Pachamanova also serves on the INFORMS Continuing Education Committee. Dr. Pachamanova holds an A.B. from Princeton University and a Ph.D. from the Sloan School of Management at the Massachusetts Institute of Technology.

Academic Degrees

  • Ph D, Massachusetts Institute of Technology
  • A.B., Princeton University

Academic Interests

Business Analytics; Financial Engineering; Operations Research

Awards & Honors

  • 2016 - PwC Grant, Business Analytics, PricewaterhouseCoopers
  • 2015 - Zwerling Family Endowed Research Scholar, Babson College
  • 2014 - Women Who Make a Difference Award Nominee, Babson College
  • 2013 - Deans' Faculty Scholarship Award, Babson College
  • 2012 - Babson Research Scholar, Babson College
  • 2012 - Faculty Research Fund Summer Stipend Grant, Babson College
  • 2009 - Deans' Faculty Scholarship Award, Babson College
  • 2008 - Board of Research Course Release Grant, Babson College
  • 2008 - Deans' Award for Excellence in Graduate Teaching, Babson College
  • 2007 - Faculty Research Fund Summer Stipend Grant, Babson College
  • 2006 - Faculty Research Fund Major Award Grant (3 Course Releases), Babson College
  • 2006 - Zwerling Term Chair, Babson College
  • 2004 - Best Presentation Award of the Financial Services Section of INFORMS, Financial Services Section of INFORMS
  • 2004 - Young Researcher Roundtable, INFORMS Conference on OR/MS Practice
  • 2003 - Gill Grant, Babson College
  • 2003 - Board of Research Course Release Grant, Babson College
  • 2003 - Board of Research Course Release Grant, Babson College
  • 1997 - Middleton Miller Prize, Princeton University Math Department
  • 1997 - Sigma Xi Honorary Research Society Book Award, Sigma Xi
  • 1996 - Summer Institute for Mathematical Sciences Fellowship, University of California at Berkeley
  • 1991 - Two-Year Full Scholarship, United World College of the Adriatic, Italy

Courses

Degree Courses 2015-2016
  • QTM 7200: DATA MODELS AND DECISIONS
  • QTM 9515: INTRO DATA SCIENCE BUS ANALYTICS
  • QTM 3625: FINANCIAL SIMULATION

Publications

Journal Articles

  • Gulpinar, N., Pachamanova, D.A., Canakoglu, E. (in press). A Robust Asset-Liability Management Framework for Investment Products with Guarantees. OR Spectrum link
  • Pachamanova, D.A. (2015). Mapping Business Problems to Analytics Solutions: Surrogate Experiential Learning in an MBA Introductory Data Science and Business Analytics Course. INFORMS Transactions on Education, 16(1), 15-22. link
  • Lo, V.S., Pachamanova, D.A. (2015). From Predictive Uplift Modeling to Prescriptive Uplift Analytics: A Practical Approach to Treatment Optimization While Accounting for Estimation Risk. Journal of Marketing Analytics, 3(2), 79–95. link
  • Pachamanova, D.A., Fabozzi, F.J. (2014). Recent Trends in Equity Portfolio Construction Analytics. Journal of Portfolio Management, The, 40(3), 137-151. link
  • Gülpιnar, N., Canakoglu, E., Pachamanova, D.A. (2014). Robust investment decisions under supply disruption in petroleum markets. Computers & Operations Research, 44, 75-91. link
  • Gülpinar, N., Pachamanova, D.A. (2013). A Robust Optimization Approach to Asset-Liability Management under Time-Varying Investment Opportunities. Journal of Banking & Finance, 37(6), 2031-2041.
  • Gülpinar, N., Pachamanova, D.A., Çanakoğlu, E. (2013). Robust Strategies for Facility Location under Uncertainty. European Journal of Operational Research, 225(1), 21-35. link
  • Benson, P., Casali, M., Pachamanova, D. (2012). Making Optimization Signficant: The Role of Statistical Analysis. Search Marketing Standard, 16-19. link
  • Low, C., Pachamanova, D., Sim, M. (2012). Skewness-Aware Asset Allocation: A New Theoretical Framework and Empirical Evidence. Mathematical Finance, 22(2), 379-410.
  • Gulpinar, N., Katata, K., Pachamanova, D. (2011). Robust Portfolio Optimization under Discrete Asset Choice Constraints. Journal of Asset Management, 12(1), 67-83. link
  • Natarajan, K., Pachamanova, D.A., Sim, M. (2009). Constructing Risk Measures from Uncertainty Sets. Operations Research, 57(5), 1129-1141.
  • Elanjian, M., Pachamanova, D.A. (2009). Is Revenue Sharing Working for Major League Baseball? A Historical Perspective. Sport Journal, The, 12(2)
  • Natarajan, K., Pachamanova, D., Sim, M. (2008). Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization. Management Science, 54(3), 573-585.
  • Pachamanov, R.A., Pachamanova, D.A., Tsankov, B. (2008). Optimal Resource Allocation in WiMax. Electrotechnica & Electronica, 43(1-2), 41-47.
  • Pachamanov, A., Pachamanova, D. (2008). Optimization of the Light Distribution of Luminaries for Tunnel and Street Lighting. Engineering Optimization, 40(1), 47-65.
  • Pachamanova, D.A., Tsankov, B., Pachamanov, R. (2008). Resource Planning for Voice over Wireless Both-Way Transmission Media. Radioengineering, 17(1), 78-81.
  • Bertsimas, D., Pachamanova, D.A. (2008). Robust Multiperiod Portfolio Management with Transaction Costs. Computers and Operations Research, 35(1), 3-17.
  • Ansari, S.L., Nanni, A.J., Pachamanova, D.A., Kopcso, D.P. (2008). Using Simulation to Model Customer Behavior in the Context of Customer Lifetime Value Estimation. INFORMS Transactions on Education, 9(1), 1-10. link
  • Hicks, C.B., Pachamanova, D.A. (2007). Back-Propagation of User Innovations: The Open Source Compatibility Edge. Business Horizons, 50(4), 315-324.
  • Truman, G., Pachamanova, D.A., Goldstein, M. (2007). InterCon Travel Health Case Study. Journal of the Academy of Business Education, 8(Summer), 17-32.
  • Tsankov, B., Pachamanov, R.A., Pachamanova, D.A. (2007). Modified Brady Voice Traffic Model for WLAN and WMAN. Electronics Letters, 43(23), 1295-1297 .
  • Fabozzi, F.J., Kolm, P.N., Pachamanova, D.A., Focardi, S.M. (2007). Robust Portfolio Optimization: Recent Trends and New Directions. Journal of Portfolio Management, 33(3)
  • Pachamanova, D.A. (2006). Handling Parameter Uncertainty in Portfolio Risk Minimization: The Robust Optimization Approach. Journal of Portfolio Management, 32(4), 70-78.
  • Pachamanova, D.A. (2006). Introducing Integer Modeling with Excel Solver. INFORMS Transactions on Education, 7(1), 89-99.
  • Hicks, C.B., Pachamanova, D.A. (2005). Metamodeling with Perl and AMPL. Dr. Dobb’s Journal: Software Tools for the Professional Programmer, 30(1), 16-22.
  • Bertsimas, D., Pachamanova, D., Sim, M. (2004). Robust Linear Optimization under General Norms. Operations Research Letters, 32(6), 510-516.

Books

  • Pachamanova, D.A., Fabozzi, F.J. (2016). Portfolio Construction and Analytics. Hoboken, NJ: J. Wiley & Sons link
  • Pachamanova, D.A., Fabozzi, F.J. (2010). Simulation and Optimization in Finance: Modeling with MATLAB, @RISK, or VBA. Hoboken, NJ: J. Wiley & Sons link
  • Fabozzi, F.J., Kolm, P.N., Pachamanova, D.A., Focardi, S.M. (2007). Robust Portfolio Optimization and Management. Hoboken, NJ: J. Wiley & Sons link

Cases and Teaching Notes

  • Pachamanova, D.A. (2015). Managing Staffing Inefficiencies Using Analytics. 16(1), 23. link
  • Nanni, A.J., Pachamanova, D.A., Shanks, J.E. (2010). Even' Star Organic Farm. IMA Educational Case Journal, 3(3), 1-4.
  • Truman, G., Pachamanova, D.A., Goldstein, M.A. (2010). InterCon Travel Health Case Study (B). Journal of Information Systems Education, 21(1),

Book Chapters

  • Pachamanova, D.A., Gulpinar, N., Canakoglu, E. (in press). Robust Data-Driven Approaches to Pension Fund Asset-Liability Management under Uncertainty. In P. Brandimarte, G. Consigli, D. Kuhn (Ed.), Optimization Paradigms and Decision Making under Uncertainty for Financial Applications.: Springer-Verlag
  • Pachamanova, D.A. (2013). Robust Portfolio Selection. In J. Cochran, L. Cox, Jr., P. Keskinocak, J. Kharoufeh and J.C. Smith (Ed.), Wiley Encyclopedia of Operations Research and Management Science. Hoboken, NJ: Wiley
  • Pachamanova, D.A., Fabozzi, F.J. (2012). Equity Portfolio Selection Models in Practice. In Frank J. Fabozzi (Ed.), The Encyclopedia of Financial Models. Hoboken, NJ: Wiley
  • Pachamanova, D.A., Fabozzi, F.J. (2012). Introduction to Financial Modeling with MATLAB. In Frank J. Fabozzi (Ed.), The Encyclopedia of Financial Models. Hoboken, NJ: Wiley
  • Pachamanova, D.A., Fabozzi, F.J. (2012). Introduction to Visual Basic. In Frank J. Fabozzi (Ed.), The Encyclopedia of Financial Models. Hoboken, NJ: Wiley
  • Pachamanova, D.A., Fabozzi, F.J. (2012). Modeling Asset Price Dynamics. In Frank J. Fabozzi (Ed.), The Encyclopedia of Financial Models. Hoboken, NJ: Wiley
  • Pachamanova, D.A. (2012). Monte Carlo Simulation in Finance. In Frank J. Fabozzi (Ed.), The Encyclopedia of Financial Models. Hoboken, NJ: Wiley
  • Pachamanova, D.A., Kolm, P.N., Fabozzi, F.J., Focardi, S.M. (2012). Robust Portfolio Optimization. In Frank J. Fabozzi (Ed.), The Encyclopedia of Financial Models. Hoboken, NJ: Wiley
  • Pachamanova, D., Fabozzi, F.J. (2011). Equity Portfolio Selection in Practice. In Frank J. Fabozzi and Harry M. Markowitz (Ed.), Equity Valuation and Portfolio Management. Hoboken, NJ: J. Wiley & Sons
  • Pachamanova, D.A., Fabozzi, F.J. (2011). Modeling Asset Price Dynamics. In Frank J. Fabozzi and Harry M. Markowitz (Ed.), The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies. Hoboken, NJ: J. Wiley & Sons
  • Pachamanova, D.A. (in press). Monte Carlo Simulation in Finance.Handbook of Finance.: J. Wiley & Sons
  • Kolm, P.N., Fabozzi, F.J., Focardi, S.M., Pachamanova, D.A. (in press). Quantitative Investment Management Today and Tomorrow.Handbook of Finance.: J. Wiley & Sons
  • Pachamanova, D.A., Kolm, P.N., Fabozzi, F.J., Focardi, S.M. (in press). Robust Portfolio Optimization.Handbook of Finance.: J. Wiley & Sons

Conference Proceedings

  • Nanni, A.J., Pachamanova, D.A., Shanks, J.E. (2008). Even'Star Organic Farm: A Case Study.
  • Pachamanov, R., Pachamanova, D.A., Tsankov, B. (2007). An Optimization-Based Admission Control Method for IEEE 802.16 Wireless Networks.
  • Snow, T., Pachamanova, D.A. (2007). What Drives the Demand for In-Vitro Fertilization? A Multivariate Statistical Analysis of teh Utilization of Assisted Reproductive Technologies in the United States: 1995-2004.

Presentations

  • Trends in Portfolio Construction and Analytics
    Pachamanova, D. Trends in Portfolio Construction and Analytics Industrial-Academic Workshop on Optimization in Finance and Risk Management, Toronto, CA (2015)
  • Recent Computational Trends and Opportunities in Equity Portfolio Optimization
    Pachamanova, D. Recent Computational Trends and Opportunities in Equity Portfolio Optimization APMOD 2014, Warwick, UK (2014)
  • R Workshop
    Pachamanova, D. R Workshop Babson College Graduate School Business Analytics Students' Club, Wellesley, MA (2013)
  • Constructing Risk Measures from Uncertainty Sets
    Pachamanova, D. Constructing Risk Measures from Uncertainty Sets Best of Women in ORMS session, INFORMS , Phoenix, AZ (2012)
  • Tractable Asset-Liability Management
    Pachamanova, D. Tractable Asset-Liability Management Session on Optimization in Finance, INFORMS , Phoenix, AZ (2012)
  • Skewness-Aware Asset Location
    Pachamanova, D. Skewness-Aware Asset Location International Symposium on Mathematical Programming (ISMP) , Berlin, Germany (2012)
  • Robust Portfolio Optimization
    Pachamanova, D. Robust Portfolio Optimization Fidelity Investments, Strategic Advisors Group, Boston, MA (2009)
  • Robust Portfolio Optimization: Recent Trends and New Directions
    Pachamanova, D. Robust Portfolio Optimization: Recent Trends and New Directions Univeristy of Warwick Buisness School, Coventry, UK (2008)
  • Even’ Star Organic Farm
    Nanni, A., Pachamanova, D., Shanks, J. Even’ Star Organic Farm American Accounting Association-Management Accounting Section International Case and Research Conference, Long Beach, CA (2008)
  • Robust Portfolio Optimization: Recent Trends and New Opportunities
    Pachamanova, D. Robust Portfolio Optimization: Recent Trends and New Opportunities QWAFAFEW Monthly Meeting, Boston (2007)
  • What Drives the Demand for In-Vitro Fertilization? A Multivariate Statistical Analysis of the Utilization of Assisted Reproductive Technologies in the United States: 1995-2004
    Snow, T., Pachamanova, D. What Drives the Demand for In-Vitro Fertilization? A Multivariate Statistical Analysis of the Utilization of Assisted Reproductive Technologies in the United States: 1995-2004 Annual Meeting of the American Society for Reproductive Medicine, Washington, DC, USA (2007)
  • Robust Optimization: Applications for Risk Management and New Directions
    Pachamanova, D. Robust Optimization: Applications for Risk Management and New Directions Bentley College Math Department Seminar Series, Waltham, MA (2007)
  • An Optimization-Based Admission Control Method for IEEE 802.16 Wireless Networks
    Pachamanov, R., Pachamanova, D., Tsankov, B. An Optimization-Based Admission Control Method for IEEE 802.16 Wireless Networks IEEE Africon 2007 Conference , Namibia (2007)
  • Constructing Risk Measures from Uncertainty Sets
    Pachamanova, D., Sim, M., Natarajan, K. Constructing Risk Measures from Uncertainty Sets ICCOPT-MOPTA Conference on Continuous Optimization, Hamilton, Ontario, Canada (2007)
  • Robust Optimization and Portfolio Risk Measures
    Pachamanova, D., Natarajan, K., Sim, M. Robust Optimization and Portfolio Risk Measures EUROXXII Operational Research Conference, Prague, Czech Republic (2007)
  • Introducing Integer Modeling with Excel Solver
    Pachamanova, D. Introducing Integer Modeling with Excel Solver INFORMS Annual Meeting, Pittsburgh, PA (2006)
  • Tractable Parametric VaR Optimization
    Natarajan, K., Pachamanova, D., Sim, M. Tractable Parametric VaR Optimization INFORMS Annual Meeting, Pittsburgh, PA (2006)
  • A Tractable Probabilistic Approach to VaR Optimization
    Pachamanova, D., Natarajan, K., Sim, M., , A Tractable Probabilistic Approach to VaR Optimization EUROXXI Operational Research Conference, Reykjavik, Iceland (2006)
  • An Optimization Model for Control of Tunnel Lighting Using Power Line Carrier Communication
    Pachamanova, D., Pachamanov, A. An Optimization Model for Control of Tunnel Lighting Using Power Line Carrier Communication Balkan Light'05 Conference, Cluj, Romania (2005)
  • The Profitability of Home Equity Protection
    Pachamanova, D., Malloy, T., Allietta, M. The Profitability of Home Equity Protection INFORMS Annual Meeting, Denver, CO (2004)
  • Robust Portfolio Shortfall Minimization
    Pachamanova, D., Lombardi, R. Robust Portfolio Shortfall Minimization EURO XX Operational Research Conference, Rhodes, Greece (2004)
  • Robust Optimization: Norms, Convexity, and Applications
    Bertsimas, D., Pachamanova, D., Sim, M. Robust Optimization: Norms, Convexity, and Applications INFORMS Annual Meeting, San Jose, CA (2003)
  • An Optimization Model for Determining the Optimal Voltage Regime in Industrial Electric Power Supply Systems
    Pachamanova, D., Pachamanov, A., Bibev, D. An Optimization Model for Determining the Optimal Voltage Regime in Industrial Electric Power Supply Systems Balkan Conference on Electric Supply and Equipment Conference, Sofia, Bulgaria (2003)
  • Robust Multiperiod Portfolio Management with Transaction Costs
    Pachamanova, D., Bertsimas, D. Robust Multiperiod Portfolio Management with Transaction Costs Euro-INFORMS Meeting, Istanbul, Turkey (2003)
  • Dimming of Artificial Lighting in Threshold and Transition Zones of Road Tunnels
    Pachamanova, D., Pachamanov, A., Pregyov, B., Ratz, N. Dimming of Artificial Lighting in Threshold and Transition Zones of Road Tunnels Balkan Light'02 Conference , Istanbul, Turkey (2002)
  • Optimization of Artificial Lighting in Road Tunnels
    Pachamanova, D., Pachamanov, A., Pregyov, B. Optimization of Artificial Lighting in Road Tunnels Balkan Light'02 Conference, Istanbul, Turkey (2002)